semi-annual report (unaudited) - legg mason · npb new private bank ltd limmatquai 1/am bellevue...

Semi-Annual Report(Unaudited)Legg MasonAlternative Funds ICAVAn Irish collective asset-management vehicle with variable capital havingregistration number C139549 and established as an umbrella fund withsegregated liability between sub-fundsFor the six months ended 31 December 2019

Legg Mason Alternative Funds ICAV Semi-Annual Report 31 December 2019

Table of ContentsGeneral Information 2

Letter to Shareholders 3

Portfolio of Investments 4

Statement of Financial Position 13

Statement of Comprehensive Income 15

Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares 16

Notes to Financial Statements 18

Statement of Major Portfolio Changes 24

General Data Protection Regulation 25

Financial Information – Total Expense Ratios (TER) 26

1


General Information

Board of Directors*

Fionnuala Doris (Ireland) (Independent)Joseph Keane (Ireland) (Independent)Joseph Carrier (U.S.)Joseph LaRocque (U.S.)Jane Trust (U.S.)Jaspal Sagger (U.K.)**Victoria Rock (U.K.)**

Registered Office of the ICAV

10 Earlsfort TerraceDublin 2, Ireland

Manager and Promoter

Legg Mason Investments (Ireland) Limited6th Floor, Building ThreeNumber One Ballsbridge126 Pembroke RoadDublin 4, Ireland

Investment Manager***

EnTrustPermal Ltd.12 St. James’s SquareLondon SW1Y 4LBUnited Kingdom

Investment Manager***

EnTrust Global Ltd.12 St. James’s Square,London SW1Y 4LBUnited Kingdom

Independent Auditors

PricewaterhouseCoopersChartered Accountants & Registered AuditorsOne Spencer DockNorth Wall QuayDublin 1, Ireland

Distributors and Shareholder Servicing Agents

Legg Mason Investor Services, LLC100 International DriveBaltimore, Maryland 21202U.S.A.

Legg Mason Investments (Europe) Limited201 BishopsgateLondon EC2M 3ABUnited Kingdom

Legg Mason Asset Management Hong Kong Limited12/F, York House15 Queen’s Road CentralHong Kong

Legg Mason Asset Management Singapore Pte. Limited1 George Street, # 23-02Singapore 049145

Administrator

State Street Fund Services (Ireland) Limited78 Sir John Rogerson’s QuayDublin 2, Ireland

Secretary

Bradwell LimitedArthur Cox BuildingEarlsfort TerraceDublin 2, Ireland

Irish Legal Adviser

Arthur Cox10 Earlsfort TerraceD02 T380Dublin 2, Ireland

Depositary

State Street Custodial Services (Ireland) Limited78 Sir John Rogerson’s QuayDublin 2, Ireland

Swiss Representative****

First Independent Fund Services LtdKlausstrasse 33CH-8008 ZurichSwitzerland

Swiss Paying Agent

NPB New Private Bank LtdLimmatquai 1/am BellevueCH-8024 ZurichSwitzerland

* All of the Directors are non-executive Directors.** Effective 19 September 2019, Jaspal Sagger and Victoria Rock were appointed as Directors to the ICAV.*** On 22 July 2019, EnTrustPermal Ltd. ceased acting as the Investment Manager and EnTrust Global Ltd. was appointed as the Investment

Manager.**** The Prospectus, the instrument of incorporation, the KIID, the annual and semi-annual reports of the Fund may be obtained free of charge from

the Swiss Representative. In respect of the Shares distributed in and from Switzerland to Qualified Investors, the place of performance and theplace of jurisdiction is at the registered office of the Swiss Representative.

2


Letter to ShareholdersMarket review for EnTrustGlobal Alternative Income Strategy

Global Economic Review

While the global economic expansion continued during the six months ended 31December 2019, the pace was muted in a number of countries. In its October 2019World Economic Outlook Update, the International Monetary Fund (“IMF”) said,“After slowing sharply in the last three quarters of 2018, the pace of globaleconomic activity remains weak. Momentum in manufacturing activity, in particular,has weakened substantially, to levels not seen since the global financial crisis. Risingtrade and geopolitical tensions have increased uncertainty about the future of theglobal trading system and international cooperation more generally, taking a toll onbusiness confidence, investment decisions, and global trade. A notable shift towardincreased monetary policy accommodation – through both action andcommunication – has cushioned the impact of these tensions on financial marketsentiment and activity, while a generally resilient service sector has supportedemployment growth. That said, the outlook remains precarious.” From a regionalperspective, the IMF projects the US economy expanded 2.4% in 2019, comparedto 2.9% in the prior calendar year. Elsewhere, the IMF anticipates 2019 GDPgrowth in the Eurozone, U.K. and Japan will be 1.2%, 1.2% and 0.9%,respectively. For comparison purposes, these economies expanded 1.9%, 1.4% and0.8%, respectively, in 2018.

Market Review – Fixed Income

Global fixed income markets posted positive results during the reporting period. Inthe US, the Federal Reserve Board (“Fed”) had a “dovish pivot” in early 2019. Afterraising interest rates four times in 2018, the Fed lowered rates three times in thesecond half of 2019 in an attempt to spur economic growth. Against this backdrop,US Treasury yields declined (yields and prices move in the opposite direction) andthe spread sectors (non-US Treasuries) rallied. Monetary policy accommodation by anumber of other central banks due to moderating growth and trade waruncertainties also led to falling global bond yields.

Market Review – Global Equities

Global equities generated strong results during the reporting period. Despiteperiods of elevated volatility, often driven by contentious US – China tradenegotiations, the US stock market ended the reporting period near an all-time high.Supporting US equities were the aforementioned monetary policy accommodation,corporate profits that often exceeded modest expectations and, toward the end ofthe year, a “Phase 1” trade agreement between the US and China. Non-USdeveloped and emerging market equities also rallied. Many of the factors propellingUS equities higher also supported the overseas markets. Investors were alsoencouraged by clarity on the likely resolution of Brexit, as well as hopes forimproving growth in 2020.

Yours sincerely,

Legg Mason Investments (Ireland) Limited

It should be noted that the value of investments and the income from them may godown as well as up. Investment involves risks, including the possible loss of theamount invested. Past performance is not a reliable indicator of future results.

This information and data in this material has been prepared from sources believedreliable but is not guaranteed in any way by any Legg Mason, Inc. company oraffiliate (together “Legg Mason”).

Opinions expressed are subject to change without notice and do not take intoaccount the particular investment objectives, financial situations or needs ofinvestors.

This material is not intended for any person or use that would be contrary to locallaw or regulation. Legg Mason is not responsible and takes no liability for theonward transmission of this material.

Before investing, you should read the application form Prospectus and KIID. Thesedocuments may be obtained free of charge from the Fund’s registered office at10 Earlsfort Terrace Dublin 2, Ireland from the Fund’s administrator State StreetFund Services (Ireland) Limited or from www.leggmason.com/global.

In Europe (excluding UK & Switzerland) this financial promotion is issued by LeggMason Investments (Ireland) Limited, registered office 6th Floor, Building Three,Number One Ballsbridge, 126 Pembroke Road, Ballsbridge, Dublin 4, D04 EP27,Ireland. Registered in Ireland, Company No. 271887. Authorised and regulated bythe Central Bank of Ireland.

In the UK this financial promotion is issued by Legg Mason Investments (Europe)Limited, registered office 201 Bishopsgate, London, EC2M 3AB. Registered inEngland and Wales, Company No. 1732037. Authorised and regulated by the UKFinancial Conduct Authority.

In Switzerland, this financial promotion is issued by Legg Mason Investments(Switzerland) GmbH, authorised by the Swiss Financial Market Supervisory AuthorityFINMA.

Investors in Switzerland: The representative in Switzerland is FIRST INDEPENDENTFUND SERVICES LTD., Klausstrasse 33, 8008 Zurich, Switzerland and the payingagent in Switzerland is NPB Neue Privat Bank AG, Limmatquai 1, 8024 Zurich,Switzerland. Copies of the Articles of Association, the Prospectus, the Key InvestorInformation Documents and the annual and semi-annual reports of the Companymay be obtained free of charge from the representative in Switzerland.

3


EnTrustGlobal Alternative Income Strategy

Portfolio of Investments

FaceValue(000’s)

Value(000’s)

US$% ofNAV

Transferable Securities — 76.32%Bonds — 67.69%Argentina — 1.42% (30 June 2019: 2.20%)

89 Argentina Bonar Bonds 8.750% due 07/05/24 37 0.011,245 Argentine Republic Government International Bond 5.625% due 26/01/22 648 0.25

35 Argentine Republic Government International Bond 6.625% due 06/07/28 17 0.0170 Argentine Republic Government International Bond 6.875% due 26/01/27 35 0.0135 Argentine Republic Government International Bond 6.875% due 11/01/48 17 0.01

770 Argentine Republic Government International Bond 7.500% due 22/04/26 403 0.15308 Argentine Republic Government International Bond 8.280% due 31/12/33 175 0.07

2,125 Cia Latinoamericana de Infraestructura & Servicios SA 9.500% due 20/07/23 999 0.381,380 Mastellone Hermanos SA 12.625% due 03/07/21 1,080 0.40

350 YPF SA 8.500% due 28/07/25 330 0.13

3,741 1.42

Austria — 0.96% (30 June 2019: 0.54%)

1,400 ams AG 0.000% due 05/03/25 1,132 0.43925 JBS Investments II GmbH 7.000% due 15/01/26 1,008 0.38350 Suzano Austria GmbH 6.000% due 15/01/29 396 0.15

2,536 0.96

Belgium — 0.54% (30 June 2019: 0.25%)

800 Belfius Bank SA 3.625% due 31/12/99^ 863 0.33480 House of Finance NV 4.375% due 15/07/26 556 0.21

1,419 0.54

Bermuda — 1.00% (30 June 2019: 0.82%)

950 Cosan Ltd 5.500% due 20/09/29 990 0.37913 Digicel Group One Ltd 8.250% due 30/12/22 512 0.19182 Digicel Group Two Ltd 8.250% due 30/09/22 44 0.02

2,389 Digicel Group Two Ltd 9.125% due 01/04/24 372 0.14695 Geopark Ltd 6.500% due 21/09/24 727 0.28

2,645 1.00

Brazil — 0.47% (30 June 2019: Nil)

405 Banco BTG Pactual SA 4.500% due 10/01/25 411 0.16810 Itau Unibanco Holding SA 4.500% due 21/11/29^ 830 0.31

1,241 0.47

Canada — 2.78% (30 June 2019: 3.28%)

160 Bausch Health Cos Inc 5.000% due 30/01/28 165 0.06160 Bausch Health Cos Inc 5.250% due 30/01/30 166 0.06360 Canacol Energy Ltd 7.250% due 03/05/25 380 0.14600 Entertainment One Ltd 4.625% due 15/07/26 861 0.33

1,883 First Quantum Minerals Ltd 7.500% due 01/04/25 1,929 0.73375 Frontera Energy Corp 9.700% due 25/06/23 398 0.15375 St Marys Cement Inc Canada 5.750% due 28/01/27 422 0.16

2,278 Teck Resources Ltd 5.200% due 01/03/42 2,340 0.89653 Teck Resources Ltd 5.400% due 01/02/43 690 0.26

7,351 2.78

Cayman Islands — 3.03% (30 June 2019: 2.58%)

3,804 Ambac LSNI LLC 6.945% due 12/02/23 3,860 1.46200 Dar Al-Arkan Sukuk Co Ltd 6.750% due 15/02/25 199 0.08550 Gran Tierra Energy International Holdings Ltd 6.250% due 15/02/25 497 0.19200 Melco Resorts Finance Ltd 5.375% due 04/12/29 206 0.08540 Sable International Finance Ltd 5.750% due 07/09/27 574 0.22

2,486 Transocean Phoenix 2 Ltd 7.750% due 15/10/24 2,643 1.00

7,979 3.03

Chile — 0.10% (30 June 2019: 0.15%)

250 AES Gener SA 7.125% due 26/03/79^ 263 0.10

263 0.10

El Salvador — Nil (30 June 2019: 0.03%)

France — 1.79% (30 June 2019: 0.64%)

480 Altice France SA 2.500% due 15/01/25 546 0.21600 Ceetrus SA 2.750% due 26/11/26 704 0.27400 La Banque Postale SA 3.875% due 31/12/99^ 457 0.17973 Societe Generale SA 6.000% due 27/10/49^ 975 0.37

1,700 Tikehau Capital SCA 3.000% due 27/11/23 2,031 0.77

4,713 1.79

Investments are categorised by country of incorporation.The accompanying notes are an integral part of the Financial Statements.

4



Portfolio of Investments – (continued)

FaceValue(000’s)

Value(000’s)

US$% ofNAV

Germany — 0.41% (30 June 2019: Nil)

921 Peach Property Finance GmbH 3.500% due 15/02/23 1,072 0.41

1,072 0.41

Guernsey — 2.08% (30 June 2019: 1.62%)

904 Globalworth Real Estate Investments Ltd 2.875% due 20/06/22 1,068 0.41336 Pershing Square Holdings Ltd 5.500% due 15/07/22 356 0.14

3,822 Pershing Square Holdings Ltd 5.500% due 15/07/22 4,049 1.53

5,473 2.08

India — 0.10% (30 June 2019: Nil)

250 Adani Ports & Special Economic Zone Ltd 4.375% due 03/07/29 259 0.10

259 0.10

Ireland — 0.57% (30 June 2019: 0.35%)

1,050 C&W Senior Financing DAC 7.500% due 15/10/26 1,140 0.43350 Celtic Resources Holdings DAC 4.125% due 09/10/24 361 0.14

1,501 0.57

Italy — 1.01% (30 June 2019: 1.19%)

1,078 International Design Group SpA 6.500% due 15/11/25 1,280 0.49752 UniCredit SpA 5.750% due 28/10/25^ 879 0.33383 UniCredit SpA 7.500% due 31/12/99^ 503 0.19

2,662 1.01

Jersey — 0.20% (30 June 2019: 0.15%)

500 Petropavlovsk 2016 Ltd 8.125% due 14/11/22 516 0.20

516 0.20

Kazakhstan — Nil (30 June 2019: 0.26%)

Luxembourg — 3.48% (30 June 2019: 4.53%)

521 Altice Finco SA 7.625% due 15/02/25 541 0.21904 Altice Finco SA 9.000% due 15/06/23 1,055 0.40900 Cosan Luxembourg SA 7.000% due 20/01/27 982 0.37

1,704 Hercule Debtco Sarl 6.750% due 30/06/24 1,676 0.64623 Intelsat Luxembourg SA 8.125% due 01/06/23 370 0.14244 Matterhorn Telecom SA 2.625% due 15/09/24 286 0.11360 MHP Lux SA 6.950% due 03/04/26 378 0.14

1,030 Millicom International Cellular SA 5.125% due 15/01/28 1,083 0.41625 Summer BC Holdco A Sarl 9.250% due 31/10/27 721 0.27

1,400 Vivion Investments Sarl 3.000% due 08/08/24 1,607 0.61400 Vivion Investments Sarl 3.500% due 01/11/25 464 0.18

9,163 3.48

Mauritius — 0.37% (30 June 2019: Nil)

270 Greenko Solar Mauritius Ltd 5.950% due 29/07/26 273 0.10340 MTN Mauritius Investments Ltd 6.500% due 13/10/26 377 0.14350 Network i2i Ltd 5.650% due 31/12/99^ 346 0.13

996 0.37

Mexico — 1.72% (30 June 2019: 1.80%)

973 America Movil SAB de CV 6.375% due 06/09/73^ 1,329 0.50250 Banco Mercantil del Norte SA 7.625% due 31/12/99^ 268 0.10250 Cemex SAB de CV 5.450% due 19/11/29 262 0.10225 Grupo Bimbo SAB de CV 4.000% due 06/09/49 211 0.08555 Grupo KUO SAB De CV 5.750% due 07/07/27 582 0.22675 Orbia Advance Corp SAB de CV 5.875% due 17/09/44 714 0.27655 Sixsigma Networks Mexico SAB de CV 7.500% due 02/05/25 662 0.25200 Trust F/1401 4.869% due 15/01/30 211 0.08310 Unifin Financiera SAB de CV 8.375% due 27/01/28 318 0.12

4,557 1.72

Netherlands — 3.99% (30 June 2019: 3.93%)

200 AESAndres BV 7.950% due 11/05/26 213 0.088,000 Exmar Netherlands BV 10.600% due 27/05/22 911 0.35

360 IHS Netherlands Holdco BV 7.125% due 18/03/25 381 0.14580 IHS Netherlands Holdco BV 8.000% due 18/09/27 618 0.23200 Metinvest BV 7.750% due 23/04/23 211 0.08450 Metinvest BV 7.750% due 17/10/29 462 0.18444 MV24 Capital BV 6.748% due 01/06/34 470 0.18

1,146 OI European Group BV 2.875% due 15/02/25 1,337 0.50504 Petrobras Global Finance BV 5.093% due 15/01/30 541 0.21

1,250 Prosus NV 5.500% due 21/07/25 1,391 0.52575 Sigma Holdco BV 5.750% due 15/05/26 652 0.25651 Summer BidCo BV 9.000% due 15/11/25 782 0.30


5




FaceValue(000’s)

Value(000’s)

US$% ofNAV

Netherlands — 3.99% (30 June 2019: 3.93%) (continued)

1,000 Telefonica Europe BV 7.625% due 29/09/49^ 1,259 0.48377 United Group BV 4.875% due 01/07/24 442 0.17210 VEON Holdings BV 4.000% due 09/04/25 219 0.08605 VTR Finance BV 6.875% due 15/01/24 620 0.24

10,509 3.99

Nigeria — 0.28% (30 June 2019: 0.24%)

730 Nigeria Government International Bond 7.696% due 23/02/38 734 0.28

734 0.28

Panama — 0.58% (30 June 2019: 0.56%)

1,275 AES El Salvador Trust II 6.750% due 28/03/23 1,287 0.49225 Cable Onda SA 4.500% due 30/01/30 237 0.09

1,524 0.58

Portugal — 0.21% (30 June 2019: Nil)

500 Transportes Aereos Portugueses SA 5.625% due 02/12/24 560 0.21

560 0.21

Saudi Arabia — 0.08% (30 June 2019: 0.08%)

200 Saudi Government International Bond 4.500% due 26/10/46 222 0.08

222 0.08

Spain — 2.02% (30 June 2019: 1.48%)

1,600 Banco Bilbao Vizcaya Argentaria SA 6.750% due 29/12/49^ 1,809 0.68800 Banco Bilbao Vizcaya Argentaria SA 8.875% due 29/12/49^ 986 0.37500 Banco Santander SA 5.481% due 12/03/49^ 568 0.22

1,000 Bankia SA 6.000% due 31/12/99^ 1,188 0.45663 Tasty Bondco 1 SA 6.250% due 15/05/26 781 0.30

5,332 2.02

Sweden — 0.23% (30 June 2019: Nil)

536 Intrum AB 3.000% due 15/09/27 594 0.23

594 0.23

Switzerland — 1.48% (30 June 2019: 1.28%)

2,477 Credit Suisse AG 5.750% due 18/09/25^ 2,890 1.10859 UBS AG 4.750% due 12/02/26^ 1,013 0.38

3,903 1.48

Turkey — 0.46% (30 June 2019: 0.12%)

205 KOC Holding AS 6.500% due 11/03/25 217 0.08375 Turkey Government International Bond 7.625% due 26/04/29 415 0.16600 Turkiye Garanti Bankasi AS 6.125% due 24/05/27^ 571 0.22

1,203 0.46

Ukraine — Nil (30 June 2019: 0.03%)

United Arab Emirates — 0.10% (30 June 2019: 0.08%)

265 ADES International Holding Plc 8.625% due 24/04/24 276 0.10

276 0.10

United Kingdom — 2.23% (30 June 2019: 1.30%)

1,349 EnQuest Plc 7.000% due 15/04/22 1,180 0.45445 MARB BondCo Plc 6.875% due 19/01/25 473 0.18

1,205 Mclaren Finance Plc 5.000% due 01/08/22 1,558 0.58511 Nationwide Building Society 5.875% due 31/12/99^ 735 0.28

1,438 Neptune Energy Bondco Plc 6.625% due 15/05/25 1,441 0.55250 Tullow Oil Plc 7.000% due 01/03/25 211 0.08275 Ukraine Railways Via Rail Capital Markets Plc 8.250% due 09/07/24 294 0.11

5,892 2.23

United States — 33.53% (30 June 2019: 34.12%)

803 Alternative Loan Trust 2006-6CB 2.142% due 25/05/36 343 0.13480 Ambac Assurance Corp 5.100% due 07/06/20 711 0.27

1,839 American Home Mortgage Investment Trust 2005-2 5.828% due 25/09/35 1,637 0.6220,147 American Home Mortgage Investment Trust 2007-1 2.078% due 25/05/47 3,107 1.18

2,575 Ashland LLC 6.875% due 15/05/43 2,957 1.123,398 Atrium Hotel Portfolio Trust 2017-ATRM 5.940% due 15/12/36 3,442 1.312,547 Banc of America Funding 2005-B Trust 2.815% due 20/04/35 2,149 0.82

724 Banc of America Funding 2006-7 Trust 1.842% due 25/10/36 601 0.231,489 Banc of America Funding 2015-R8 Trust 4.212% due 26/08/35^ 1,411 0.54

440 Bed Bath & Beyond Inc 5.165% due 01/08/44 320 0.12698 Carrington Mortgage Loan Trust Series 2006-NC2 2.062% due 25/06/36 547 0.21490 CGG Holding US Inc 7.875% due 01/05/23 586 0.22

1,395 Cincinnati Bell Inc 7.000% due 15/07/24 1,466 0.56


6




FaceValue(000’s)

Value(000’s)

US$% ofNAV

United States — 33.53% (30 June 2019: 34.12%) (continued)

1,811 CNX Resources Corp 5.875% due 15/04/22 1,816 0.69670 CNX Resources Corp 7.250% due 14/03/27 588 0.22

1,668 Credit Suisse ABS Trust 2018-LD1 6.300% due 25/07/24 1,639 0.621,525 CSMC Trust 2017-PFHP 6.230% due 15/12/30 1,544 0.592,435 Deephaven Residential Mortgage Trust 2018-2 6.042% due 25/04/58 2,524 0.961,253 Deephaven Residential Mortgage Trust 2018-3 5.913% due 25/08/58^ 1,284 0.49

877 Deephaven Residential Mortgage Trust 2019-3 5.663% due 25/07/59^ 883 0.33691 Denbury Resources Inc 4.625% due 15/07/23 430 0.16245 First Horizon Alternative Mortgage Securities Trust 2006-FA8 2.162% due 25/02/37 131 0.05

1,820 Foursight Capital Automobile Receivables Trust 2018-1 6.820% due 15/04/25 1,882 0.713,499 HarborView Mortgage Loan Trust 2007-7 2.792% due 25/10/37 2,939 1.114,516 Home Equity Asset Trust 2006-3 2.192% due 25/07/36 4,205 1.58

750 JC Penney Corp Inc 8.625% due 15/03/25 445 0.173,692 L Brands Inc 7.600% due 15/07/37 3,206 1.22

149 LB Commercial Mortgage Trust 2007-C3 2.087% due 15/07/44 148 0.06935 Lehman Mortgage Trust 2006-4 2.192% due 25/08/36 198 0.08

1,458 MASTR Alternative Loan Trust 2005-6 2.242% due 25/12/35 477 0.181,686 Morgan Stanley ABS Capital I Inc Trust 2005-HE7 2.497% due 25/11/35 1,418 0.54

280 Moss Creek Resources Holdings Inc 10.500% due 15/05/27 235 0.09312 Netflix Inc 3.625% due 15/06/30 361 0.14

1,571 New Residential Mortgage Loan Trust 2018-NQM1 5.284% due 25/11/48^ 1,577 0.602,027 Newcastle Mortgage Securities Trust 2006-1 2.272% due 25/03/36 1,929 0.732,785 Parsley Energy LLC 5.375% due 15/01/25 2,875 1.092,197 RALI Series 2006-QS18 Trust 2.242% due 25/12/36 1,586 0.603,545 RALI Series 2007-QS4 Trust 2.132% due 25/03/37 756 0.292,356 RAMP Series 2005-EFC1 Trust 2.857% due 25/05/35 2,281 0.87

788 RAMP Series 2005-EFC6 Trust 2.677% due 25/11/35 750 0.281,627 RAMP Series 2006-EFC1 Trust 2.222% due 25/02/36 1,577 0.601,155 RASC Series 2005-KS11 Trust 2.382% due 25/12/35 1,075 0.41

640 Sanchez Energy Corp 7.750% due 15/06/21 32 0.01300 Sasol Financing USA LLC 5.875% due 27/03/24 325 0.12775 Stillwater Mining Co 7.125% due 27/06/25 815 0.31

1,030 Structured Asset Securities Corp Mortgage Loan Trust 2007-BC1 2.022% due 25/02/37 855 0.32420 Tesla Auto Lease Trust 2018-B 7.870% due 20/06/22 439 0.17

10,000 United States Treasury Bill 0.000% due 16/01/20 9,995 3.7913,000 United States Treasury Note 1.500% due 30/11/21 12,982 4.91

1,572 Upstart Securitization Trust 2019-1 6.480% due 20/04/26 1,592 0.60300 Velocity Commercial Capital Loan Trust 2018-2 6.360% due 26/10/48^ 307 0.12969 Vivint Solar Financing V LLC 7.370% due 30/04/48 1,016 0.39

88,394 33.53

Virgin Islands — 0.47% (30 June 2019: 0.42%)

975 Central American Bottling Corp 5.750% due 31/01/27 1,030 0.39200 Studio City Finance Ltd 7.250% due 11/02/24 212 0.08

1,242 0.47

Total Bonds (Cost: US$178,200) (30 June 2019: 64.03%) 178,472 67.69

Common Stock — 4.71%Ireland — 0.93% (30 June 2019: 0.14%)

13 Allergan Plc 2,453 0.93

2,453 0.93

Israel — 0.01% (30 June 2019: 0.78%)

– Mellanox Technologies Ltd 39 0.01

39 0.01

Netherlands — 0.68% (30 June 2019: 0.06%)

53 Qiagen NV 1,785 0.68

1,785 0.68

United States — 2.76% (30 June 2019: 4.51%)

6 Ambac Financial Group Inc 133 0.051 Arbor Realty Trust Inc 21 0.01

80 Centennial Resource Development Inc 369 0.1414 Chimera Investment Corp 290 0.11

2 Cypress Semiconductor Corp 49 0.0213 Extended Stay America Inc 198 0.08

1 Granite Point Mortgage Trust Inc 12 –1 Hovnanian Enterprises Inc 12 –6 HP Inc 122 0.052 Hudson Pacific Properties Inc 75 0.033 Instructure Inc 165 0.06– KKR Real Estate Finance Trust Inc 7 –


7




FaceValue(000’s)

Value(000’s)

US$% ofNAV

United States — 2.76% (30 June 2019: 4.51%) (continued)16 Medicines Co 1,332 0.51

2 New Residential Investment Corp 38 0.01228 Oaktree Specialty Lending Corp 1,248 0.47

12 Tiffany & Co 1,547 0.5948 Zayo Group Holdings Inc 1,655 0.63

7,273 2.76

Virgin Islands — 0.33% (30 June 2019: 0.22%)83 API Group Corp 877 0.33

877 0.33

Total Common Stock (Cost: US$11,682) (30 June 2019: 5.71%) 12,427 4.71

Exchange Traded Funds — 3.75%Ireland — 2.34% (30 June 2019: 2.72%)

1,310 BlackRock ICS US Dollar Liquidity Fund 1,310 0.505 iShares USD High Yield Corp Bond UCITS ETF 517 0.20

4,362 State Street Global Advisors Liquidity Plc — US Treasury Liquidity Fund 4,362 1.64

6,189 2.34

Luxembourg — 0.60% (30 June 2019: 0.01%)1,570 JPMorgan Liquidity Funds — US Dollar Liquidity Fund 1,570 0.60

1,570 0.60

United States — 0.81% (30 June 2019: 0.63%)191 BlackRock Debt Strategies Fund Inc 2,138 0.81

2,138 0.81

Total Exchange Traded Funds (Cost: US$9,833) (30 June 2019: 3.36%) 9,897 3.75

Rights — 0.17%United States — 0.17% (30 June 2019: Nil)

143 Bristol-Myers Squibb Co 438 0.17

438 0.17

Total Rights (Cost: US$309) (30 June 2019: Nil) 438 0.17

Total Investments (Cost: US$200,024) (30 June 2019: 73.10%) 201,234 76.32

Other Assets in Excess of Liabilities (30 June 2019: 26.90%) 62,419 23.68

Total Net Assets 263,653 100.00

* Amounts shown as “–” are less than US$500 or 500 shares.

^ Variable rate security. The interest rate shown reflects the rate in effect at 31 December, 2019.

Analysis of Total AssetsClassifications

TotalAssets

Transferable securities admitted to an official stock exchange listing 40.89Transferable securities traded on a regulated market 6.74Other transferable securities of the type referred to in Regulations 68 (1)(a), (b) and (c) 21.74Exchange Traded Fund 3.59OTC financial derivative instruments 1.21Exchange traded financial derivative instruments 0.15Other Assets 25.68

100.00

Options Contracts (30 June 2019: 0.00%) Counterparty

Value(‘000’s)

US$% ofNAV

Purchased Options — 0.00% (30 June 2019: 0.00%)CVS Health Corp January 2021 Call 67.5 Morgan Stanley 8 0.00

Total Purchased Options (Cost: US$6) 8 0.00

Written Options — (0.00)% (30 June 2019: (0.00)%)Medicines January 2020 Call 75 Morgan Stanley (7) (0.00)Mellanox Technologies Ltd January 2020 Call 115 Morgan Stanley – (0.00)Qiagen NV February 2020 Call 45 Morgan Stanley (2) (0.00)Qiagen NV February 2020 Put 40 Morgan Stanley (34) (0.01)Qiagen NV January 2020 Call 35 Morgan Stanley (18) (0.01)Qiagen NV January 2020 Call 36 Morgan Stanley (6) (0.00)Qiagen NV January 2020 Call 45 Morgan Stanley (5) (0.00)Qiagen NV January 2020 Put 40 Morgan Stanley (46) (0.02)

Total Written Options (Cost: US$(64)) (118) (0.04)

Total Options (Cost: US$(58)) (110) (0.04)


8




Open Futures Contracts (30 June 2019: 0.01%)

Schedule of Futures Contracts CounterpartyNominal

Value

NotionalValue(000’s)

UnrealisedAppreciation/(Depreciation)of Contracts

(000’s)% ofNAV

US 10 Year Note CBT March 2020 Barclays (100) US$ (12,842) US$ 115 0.05MSCI Sing IX ETS January 2020 Credit Suisse (77) (2,127) 1 0.00Euro-Schatz Future March 2020 Barclays (76) (9,540) 3 0.00Nikkei 225 Mini March 2020 Credit Suisse (74) (1,610) 9 0.00FTSE China A50 January 2020 Credit Suisse (37) (533) (6) (0.00)Bank Accepted Future June 2020 Barclays (24) (4,529) – (0.00)Bank Accepted Future September 2020 Barclays (24) (4,530) – 0.003 Month Euro Euribor March 2021 Barclays (22) (6,191) 3 0.003 Month Euro Euribor March 2022 Barclays (22) (6,184) 3 0.00US Long Bond CBT March 2020 Barclays (20) (3,118) 39 0.023 Month Euro Euribor September 2020 Barclays (19) (5,348) 3 0.00S&P/TSX 60 IX Future March 2020 Credit Suisse (19) (2,963) 9 0.00Topix Index Future March 2020 Credit Suisse (18) (2,851) 6 0.00SGX NIFTYr 50 January 2020 Credit Suisse (17) (416) 3 0.0090 Day Sterling Future March 2022 Barclays (12) (1,971) (1) (0.00)90 Day Sterling Future June 2020 Barclays (9) (1,479) – (0.00)Euro-Bobl Future March 2020 Barclays (9) (1,349) 3 0.0090 Day Euro Future March 2023 Barclays (8) (1,965) – (0.00)DAX Index Future March 2020 Credit Suisse (8) (2,972) 6 0.0090 Day Euro Future March 2022 Barclays (6) (1,476) (1) (0.00)90 Day Sterling Future September 2021 Barclays (6) (986) – (0.00)90 Day Euro Future March 2021 Barclays (5) (1,231) (1) (0.00)90 Day Euro Future September 2021 Barclays (5) (1,230) (1) (0.00)90 Day Sterling Future September 2020 Barclays (5) (822) – (0.00)Japan 10 Year Bond Future March 2020 Barclays (4) (5,602) (1) (0.00)Euro-Bund Future March 2020 Barclays (3) (574) 1 0.00Nikkei 225 CME March 2020 Credit Suisse (2) (235) 2 0.00E-Mini Russ 2000 March 2020 Credit Suisse (1) (84) (1) (0.00)Canadian 10 Year Bond Future March 2020 Barclays 1 106 (2) (0.00)Euro Buxl 30 Year Bond March 2020 Barclays 1 223 (5) (0.00)US 10 Year Note CBT March 2020 Barclays 1 128 – 0.00US Ultra Bond CBT March 2020 Barclays 1 182 (5) (0.00)Australia 10 Year Bond Future March 2020 Barclays 2 201 (4) (0.00)US 5 Year Note CBT March 2020 Barclays 3 356 – (0.00)Amsterdam Index Future January 2020 Credit Suisse 4 543 (3) (0.00)Long Gilt Future March 2020 Barclays 4 696 (6) (0.00)90 Day Sterling Future March 2021 Barclays 5 822 – (0.00)US Long Bond CBT March 2020 Barclays 6 935 (18) (0.01)Australia 3 Year Bond Future March 2020 Barclays 8 646 (3) (0.00)S&P 500 Emini Future March 2020 Credit Suisse 8 1,292 (5) (0.00)US 2 Year Note CBT March 2020 Barclays 11 2,371 (1) (0.00)Spi 200 Future March 2020 Credit Suisse 12 1,390 (41) (0.02)NASDAQ 100 E-Mini March 2020 Credit Suisse 16 2,801 (6) (0.00)Hang Seng Index Future January 2020 Credit Suisse 17 3,084 25 0.01HSCEI Future January 2020 Credit Suisse 38 2,734 26 0.01FTSE/JSE Top 40 March 2020 Credit Suisse 41 1,503 (26) (0.01)Cac40 10 Euro Future January 2020 Credit Suisse 48 3,214 (6) (0.00)KOSPI2 Indez Future March 2020 Credit Suisse 56 3,574 123 0.06FTSE 100 Index Future March 2020 Credit Suisse 62 6,159 11 0.00Euro Stoxx 50 March 2020 Credit Suisse 64 2,677 (14) (0.01)MSCI Emerging Markets March 2020 Credit Suisse 64 3,585 25 0.01OMXS 30 Index Future January 2020 Credit Suisse 86 1,624 (19) (0.01)MSCI Taiwan Index January 2020 Credit Suisse 88 4,044 (14) (0.01)

Unrealised Appreciation on futures contracts 416 0.16Unrealised Depreciation on futures contracts (190) (0.07)

Net Appreciation on futures contracts US$ 226 0.09

Schedule of Credit Default Swaps (30 June 2019: 0.17%)

Counterparty Reference EntityBuy/Sell

ProtectionExpiration

Date

NotionalAmount(000’s)


(000’s)% ofNAV

Barclays AK Steel Corp 0.000% due 21/12/24 Sell 21/12/24 2,000 US$ 75 0.03Barclays AK Steel Corp 7.000% due 15/03/27 Buy 15/03/27 2,000 (152) (0.06)Barclays Apache Corp 3.250% due 15/04/22 Buy 15/04/22 3,500 20 0.01JP Morgan Brazilian Government International Bond 4.250% due 07/01/25 Buy 07/01/25 5,225 (26) (0.01)Barclays Cardinal Health Inc 4.625% due 15/12/20 Buy 15/12/20 4,000 (49) (0.02)

The accompanying notes are an integral part of the Financial Statements.

9




Schedule of Credit Default Swaps (30 June 2019: 0.17%) – (continued)

Counterparty Reference EntityBuy/Sell

ProtectionExpiration

Date

NotionalAmount(000’s)


(000’s)% ofNAV

Barclays Carrefour SA 1.750% due 21/06/24 Buy 21/06/24 3,500 US$ (72) (0.03)Barclays CDX.EM 1.000% due 20/06/24 Buy 20/06/24 4,650 123 0.05Barclays CDX.NA.HY.31-V4 1.000% due 20/12/23 Buy 20/12/23 2,400 (226) (0.09)Barclays CDX.NA.IG.31 1.000% due 20/12/23 Buy 20/12/23 5,000 (129) (0.05)Barclays Colombia Government International Bond 10.375% due 28/01/33 Buy 28/01/33 2,500 (40) (0.02)Barclays Colombia Government International Bond 10.375% due 28/01/33 Buy 28/01/33 1,300 (20) (0.01)Barclays Hertz Corp/The 5.875% due 15/10/20 Sell 15/10/20 10,000 956 0.37Barclays Hertz Corp/The 5.875% due 15/10/20 Buy 15/10/20 12,500 (296) (0.11)Credit Suisse iTraxx Europe Crossover 5.000% due 20/12/24 Buy 20/12/24 9,100 (1,390) (0.53)Barclays JC Penney Corp Inc 6.375% due 15/10/36 Buy 15/10/36 228 64 0.02Barclays JC Penney Corp Inc 6.375% due 15/10/36 Buy 15/10/36 180 31 0.01Barclays Kobe Steel Ltd 2.070% due 21/12/20 Buy 21/12/20 100,000 (11) 0.00Barclays Kobe Steel Ltd 2.070% due 21/12/20 Buy 21/12/20 35,000 (3) 0.00Barclays Kobe Steel Ltd 2.070% due 21/12/20 Buy 21/12/20 86,000 (13) 0.00Barclays L Brands Inc 5.625% due 15/10/23 Buy 15/10/23 945 34 0.01Barclays L Brands Inc 5.625% due 15/10/23 Buy 15/10/23 1,500 31 0.01Credit Suisse Louis Dreyfus Co BV 4.000% due 04/12/20 Buy 04/12/20 2,128 (352) (0.13)Barclays McClatchy Co/The 6.875% due 15/03/29 Buy 15/03/29 700 134 0.05JP Morgan Mexico Government International Bond 4.150% due 28/03/27 Buy 28/03/27 3,350 (45) (0.02)JP Morgan Peruvian Government International Bond 8.750% due 21/11/33 Buy 21/11/33 4,150 (116) (0.04)

BarclaysRepublic of South Africa Government International Bond 5.500%due 09/03/20 Buy 09/03/20 1,650 22 0.01

Barclays Russian Foreign Bond - Eurobond 7.500% due 31/03/30 Buy 31/03/30 1,550 (35) (0.01)Barclays Ryder System Inc 2.550% due 21/06/24 Buy 21/06/24 3,000 (50) (0.02)JP Morgan Sudzucker International Finance BV 1.250% due 29/11/23 Buy 29/11/23 1,532 (23) (0.01)Barclays Transocean Inc 7.375% due 21/06/22 Sell 21/06/22 10,000 (583) (0.22)Barclays Transocean Inc 7.375% due 21/06/22 Buy 21/06/22 10,000 (8) 0.00Credit Suisse USD 2Y C275 1.000% due 19/12/23 Sell 19/12/23 13,400 (128) (0.05)Credit Suisse USD 5Y C275 1.000% due 19/12/20 Sell 19/12/20 2,500 (101) (0.04)

Unrealised Appreciation on Credit Default Swaps 1,490 0.57Unrealised Depreciation on Credit Default Swaps (3,868) (1.47)

Net Depreciation of Credit Default Swaps US$ (2,378) (0.90)

Schedule of Equity Swaps (30 June 2019: 0.01%)

Shares(000’s) Reference Entity Counterparty


(000’s)% ofNAV

11 AbbVie Inc Morgan Stanley US$ 19 0.01

US$ 19 0.01

Unrealised Appreciation on Equity Swaps 19 0.01

Net Appreciation on Equity Swaps US$ 19 0.01

Schedule of Forward Foreign Currency Exchange Contracts (30 June 2019: 1.44%)

Expiration Date CounterpartyBuy Currency

(000’s)Sell Currency

(000’s)


(000’s)% ofNAV

02/01/2020 State Street Bank EUR 1 USD 1 US$ – –03/01/2020 State Street Bank EUR 122 USD 136 – –03/01/2020 State Street Bank USD 97 EUR 86 – –06/01/2020 State Street Bank EUR 55 USD 61 – –06/01/2020 State Street Bank USD 23 EUR 21 – –07/01/2020 State Street Bank EUR 242 USD 271 – –08/01/2020 Morgan Stanley EUR 1,946 USD 2,159 25 0.0108/01/2020 Morgan Stanley USD 33,244 EUR 29,902 (310) (0.13)08/01/2020 Morgan Stanley USD 4,437 GBP 3,425 (100) (0.04)08/01/2020 Morgan Stanley USD 898 NOK 8,184 (35) (0.01)10/01/2020 Deutsche Bank AG AUD 1,870 JPY 141,023 14 0.0110/01/2020 Royal Bank of Canada AUD 220 JPY 16,593 2 –10/01/2020 Deutsche Bank AG AUD 1,600 USD 1,108 15 0.0110/01/2020 Royal Bank of Canada AUD 250 USD 172 3 –10/01/2020 Deutsche Bank AG CAD 60 USD 46 – –10/01/2020 JP Morgan CAD 5,430 USD 4,138 45 0.0310/01/2020 Royal Bank of Canada CAD 210 USD 160 2 –


10




Schedule of Forward Foreign Currency Exchange Contracts (30 June 2019: 1.44%) – (continued)



(000’s)


(000’s)% ofNAV

10/01/2020 JP Morgan CHF 130 USD 134 US$ 1 –10/01/2020 Royal Bank of Canada CHF 310 USD 318 3 –10/01/2020 Royal Bank of Scotland Plc CHF 300 USD 306 4 –10/01/2020 Societe Generale CHF 60 USD 61 1 –10/01/2020 Deutsche Bank AG EUR 220 PLN 940 (1) –10/01/2020 Royal Bank of Canada EUR 70 PLN 300 – –10/01/2020 Societe Generale EUR 89 PLN 380 – –10/01/2020 Citibank EUR 50 TRY 332 – –10/01/2020 Deutsche Bank AG EUR 120 TRY 798 1 –10/01/2020 JP Morgan EUR 670 TRY 4,435 8 –10/01/2020 Royal Bank of Scotland Plc EUR 190 TRY 1,264 1 –10/01/2020 Societe Generale EUR 70 TRY 460 1 –10/01/2020 Deutsche Bank AG EUR 110 USD 123 1 –10/01/2020 Royal Bank of Canada EUR 1,110 USD 1,240 5 –10/01/2020 Societe Generale EUR 510 USD 572 1 –10/01/2020 Societe Generale GBP 2,170 USD 2,901 (26) (0.01)10/01/2020 Deutsche Bank AG HUF 11,320 USD 38 – –10/01/2020 Royal Bank of Canada HUF 55,830 USD 189 – –10/01/2020 Societe Generale HUF 26,020 USD 88 – –10/01/2020 Deutsche Bank AG ILS 130 USD 37 – –10/01/2020 Royal Bank of Scotland Plc ILS 4,080 USD 1,168 14 0.0110/01/2020 Deutsche Bank AG JPY 4,492 AUD 60 (1) –10/01/2020 Royal Bank of Canada JPY 107,860 USD 988 5 –10/01/2020 Citibank MXN 40,280 USD 2,110 19 0.0110/01/2020 Deutsche Bank AG MXN 1,100 USD 58 – –10/01/2020 JP Morgan MXN 590 USD 31 – –10/01/2020 Morgan Stanley MXN 1,700 USD 90 – –10/01/2020 Royal Bank of Canada MXN 380 USD 20 – –10/01/2020 Societe Generale MXN 1,750 USD 92 – –10/01/2020 Morgan Stanley NOK 3,770 USD 421 8 –10/01/2020 Royal Bank of Canada NOK 1,820 USD 204 3 –10/01/2020 Societe Generale NOK 14,330 USD 1,603 30 0.0110/01/2020 Deutsche Bank AG NZD 430 USD 284 5 –10/01/2020 Royal Bank of Canada NZD 280 USD 185 3 –10/01/2020 Citibank PLN 6,190 EUR 1,449 5 –10/01/2020 Royal Bank of Canada PLN 210 EUR 49 – –10/01/2020 Societe Generale PLN 4,940 EUR 1,158 3 –10/01/2020 Deutsche Bank AG PLN 2,280 USD 596 5 –10/01/2020 Royal Bank of Canada PLN 390 USD 102 1 –10/01/2020 Societe Generale PLN 560 USD 147 1 –10/01/2020 Deutsche Bank AG SEK 840 USD 89 – –10/01/2020 JP Morgan SEK 3,710 USD 397 (1) –10/01/2020 Morgan Stanley SEK 1,430 USD 153 – –10/01/2020 Royal Bank of Canada SEK 1,730 USD 185 – –10/01/2020 Societe Generale SEK 1,230 USD 131 – –10/01/2020 Royal Bank of Canada SGD 560 USD 413 3 –10/01/2020 Societe Generale SGD 370 USD 274 1 –10/01/2020 UBS AG SGD 6,050 USD 4,466 33 0.0110/01/2020 JP Morgan THB 330 USD 11 – –10/01/2020 Societe Generale THB 29,570 USD 978 9 –10/01/2020 UBS AG TRY 5,968 EUR 910 (20) (0.01)10/01/2020 UBS AG TRY 7,170 USD 1,221 (18) (0.01)10/01/2020 Morgan Stanley USD 27 AUD 40 (1) –10/01/2020 Societe Generale USD 96 AUD 140 (2) –10/01/2020 Deutsche Bank AG USD 159 CAD 210 (2) –10/01/2020 Morgan Stanley USD 190 CAD 250 (3) –10/01/2020 Morgan Stanley USD 10 CHF 10 – –10/01/2020 Royal Bank of Canada USD 61 CHF 60 (1) –10/01/2020 Deutsche Bank AG USD 144 EUR 130 (2) –10/01/2020 Royal Bank of Canada USD 1,155 EUR 1,040 (12) –10/01/2020 Royal Bank of Scotland Plc USD 179 EUR 160 (1) –10/01/2020 Deutsche Bank AG USD 91 GBP 70 (1) –10/01/2020 Morgan Stanley USD 52 GBP 40 (1) –10/01/2020 Royal Bank of Canada USD 236 GBP 180 (3) –10/01/2020 Societe Generale USD 380 GBP 290 (4) –10/01/2020 Citibank USD 496 HUF 146,240 – –10/01/2020 Societe Generale USD 94 HUF 27,910 (1) –10/01/2020 Deutsche Bank AG USD 12 ILS 40 – –10/01/2020 Morgan Stanley USD 9 ILS 30 – –10/01/2020 Royal Bank of Canada USD 2,279 JPY 249,150 (14) (0.01)


11




Schedule of Forward Foreign Currency Exchange Contracts (30 June 2019: 1.44%) – (continued)



(000’s)


(000’s)% ofNAV

10/01/2020 Royal Bank of Scotland Plc USD 1,054 JPY 115,150 US$ (6) –10/01/2020 Deutsche Bank AG USD 1 MXN 10 – –10/01/2020 Citibank USD 2,277 NOK 20,470 (55) (0.02)10/01/2020 Deutsche Bank AG USD 243 PLN 930 (2) –10/01/2020 Royal Bank of Canada USD 10 PLN 40 – –10/01/2020 Societe Generale USD 125 PLN 480 (2) –10/01/2020 Morgan Stanley USD 37 SGD 50 – –10/01/2020 Royal Bank of Canada USD 81 SGD 110 (1) –10/01/2020 Morgan Stanley USD 10 THB 290 – –10/01/2020 Deutsche Bank AG USD 47 TRY 280 – –10/01/2020 JP Morgan USD 748 TRY 4,440 4 –10/01/2020 Royal Bank of Canada USD 328 TRY 1,960 – –10/01/2020 Royal Bank of Scotland Plc USD 154 TRY 920 – –10/01/2020 Societe Generale USD 99 TRY 580 1 –10/01/2020 Deutsche Bank AG USD 15 ZAR 220 – –10/01/2020 Royal Bank of Canada USD 6 ZAR 80 – –10/01/2020 Deutsche Bank AG ZAR 920 USD 64 1 –10/01/2020 JP Morgan ZAR 140 USD 10 – –10/01/2020 Morgan Stanley ZAR 10 USD 1 – –10/01/2020 Royal Bank of Canada ZAR 3,610 USD 250 8 –10/01/2020 Royal Bank of Scotland Plc ZAR 10,240 USD 706 25 0.0117/01/2020 Citibank RUB 74,400 USD 1,183 15 0.0117/01/2020 Societe Generale USD 19 RUB 1,160 – –31/01/2020 State Street Bank EUR 242,683 USD 271,227 1,465 0.5731/01/2020 State Street Bank USD 26,040 EUR 23,342 (189) (0.07)18/03/2020 Deutsche Bank AG BRL 190 USD 46 1 –18/03/2020 Morgan Stanley BRL 450 USD 110 1 –18/03/2020 Royal Bank of Canada BRL 1,130 USD 277 3 –18/03/2020 Societe Generale BRL 210 USD 51 1 –18/03/2020 Citibank CLP 51,840 USD 70 (1) –18/03/2020 Deutsche Bank AG CLP 44,030 USD 59 – –18/03/2020 Royal Bank of Canada CLP 64,990 USD 86 – –18/03/2020 Royal Bank of Scotland Plc CLP 19,900 USD 26 – –18/03/2020 Morgan Stanley INR 8,060 USD 113 (1) –18/03/2020 Royal Bank of Canada INR 119,120 USD 1,666 (10) –18/03/2020 Societe Generale INR 20,410 USD 286 (2) –18/03/2020 UBS AG INR 41,220 USD 576 (3) –18/03/2020 Deutsche Bank AG KRW 146,900 USD 126 1 –18/03/2020 Morgan Stanley KRW 280,520 USD 242 1 –18/03/2020 Royal Bank of Canada KRW 898,950 USD 770 9 –18/03/2020 Royal Bank of Scotland Plc KRW 1,210,600 USD 1,042 6 –18/03/2020 Societe Generale KRW 714,470 USD 611 8 –18/03/2020 Citibank PHP 110 USD 2 – –18/03/2020 Morgan Stanley PHP 810 USD 16 – –18/03/2020 Societe Generale PHP 75,490 USD 1,482 5 –18/03/2020 UBS AG USD 99 BRL 410 (2) –18/03/2020 Citibank USD 779 CLP 600,240 (20) (0.01)18/03/2020 Royal Bank of Canada USD 9 CLP 6,520 – –18/03/2020 Royal Bank of Scotland Plc USD 16 CLP 12,250 – –18/03/2020 Royal Bank of Canada USD 139 INR 9,950 – –18/03/2020 Societe Generale USD 1,917 INR 137,680 3 –18/03/2020 Morgan Stanley USD 101 KRW 120,070 (3) –18/03/2020 Royal Bank of Canada USD 772 KRW 914,490 (20) (0.01)18/03/2020 UBS AG USD 830 KRW 989,750 (27) (0.01)18/03/2020 Morgan Stanley USD 2 PHP 110 – –18/03/2020 Royal Bank of Canada USD 4 PHP 180 – –18/03/2020 Societe Generale USD 3 PHP 130 – –

Unrealised Appreciation on Forward Foreign Currency Exchange Contracts 1,839 0.69Unrealised Depreciation on Forward Foreign Currency Exchange Contracts (904) (0.34)

Net Appreciation on Forward Foreign Currency Exchange Contracts US$ 935 0.35


12


Statement of Financial PositionEnTrustGlobal Alternative

Income Strategy*

Note

As at31 December 2019

’000’sUS$

As at30 June 2019

’000’sUS$

CURRENT ASSETSCash 8 25,820 36,354Cash Collateral 8 12,876 11,187Cash equivalent 8 18,821 20,919Amounts due from broker 8 10,792 14,165Financial assets at fair value through profit or loss:

Investments 201,234 230,176Options at fair value 8 2Unrealised appreciation on futures contracts 416 805Unrealised appreciation on forward foreign currency exchange contracts 1,839 5,325Unrealised appreciation on swap contracts 1,509 5,653

Receivable from holders of redeemable participating shares 97 203Receivable for investment sold 186 1,754Interest receivable 2,203 2,843Dividend receivable 21 26Prepaid expenses 16 32

Total Current Assets 275,838 329,444

CURRENT LIABILITIESFinancial liabilities at fair value through profit or loss:Designated as held for trading

Options at fair value (118) –Unrealised depreciation on futures contracts (190) (773)Unrealised depreciation on forward foreign currency exchange contracts (904) (719)Unrealised depreciation on swap contracts (3,868) (5,064)

Due to broker 8 (5,270) (4,870)Payable for fund shares redeemed (136) (627)Payable for investment purchased (562) (966)Payable for distributions (273) (316)Investment Manager fees payable (121) (138)Sub-Adviser fees payable (223) (273)Administrator and Depositary fees payable (146) (75)Shareholder service fees payable – (2)Audit fees payable (22) (42)Directors fees payable (4) (1)Legal fees payable (169) (127)Performance fees payable – (418)Accrued expenses and other liabilities (179) (152)

Total Liabilities (excluding net assets attributable to holders of redeemableparticipating shares) (12,185) (14,563)Net assets attributable to holders of redeemable participating shares 263,653 314,881

Total NAV(000’s)

No. Shares(000’s)** NAV/Share

EnTrustGlobal Alternative Income StrategyAs at 31 December 2019Class A US$ Accumulating $3,558 33 $106.70Class A US$ Distributing Plus (Q) $144 2 $93.61Class A Accumulating Euro (Hedged) €7,062 73 €96.92Class A Euro Distributing Plus (Q) (Hedged) €7,683 90 €85.20Class E Euro Accumulating (Hedged) €1 – €95.82Class F US$ Accumulating $1 – $101.41Class R US$ Accumulating $617 5 $112.37Class R US$ Distributing Plus (Q) $49 1 $98.62Class R Euro Accumulating (Hedged) €150,046 1,457 €102.96Class R Euro Distributing Plus (Q) (Hedged) €15,490 171 €90.46Class X Euro Accumulating (Hedged) €6,946 68 €102.00Premier Class US$ Accumulating $12,490 114 $110.03Premier Class US$ Distributing Plus (Q) $12 – $96.70Premier Class Accumulating Euro (Hedged) €32,004 320 €100.13Premier Class Euro Distributing Plus (Q) (Hedged) €776 9 €88.33

Total NAV(000’s)

No. Shares(000’s)** NAV/Share

EnTrustGlobal Alternative Income StrategyAs at 30 June 2019Class A US$ Accumulating $4,559 43 $106.08Class A US$ Distributing Plus (Q) $146 2 $94.96Class A Accumulating Euro (Hedged) €10,347 106 €97.79Class A Euro Distributing Plus (Q) (Hedged) €8,011 91 €87.71Class E Euro Accumulating (Hedged) €1 – €96.48Class F US$ Accumulating $1 – $100.31Class R US$ Accumulating $812 7 $111.17Class R US$ Distributing Plus (Q) $50 1 $99.55Class R Euro Accumulating (Hedged) €168,964 1,634 €103.38Class R Euro Distributing Plus (Q) (Hedged) €18,304 197 €92.68Class X Euro Accumulating (Hedged) €8,315 81 €102.61Premier Class US$ Accumulating $13,085 120 $108.98Premier Class US$ Distributing Plus (Q) $12 – $97.69Premier Class Accumulating Euro (Hedged) €45,520 452 €100.66Premier Class Euro Distributing Plus (Q) (Hedged) €1,041 11 €90.60

* Formerly known as EnTrustPermal Alternative Income Strategy.

** If a Share Class has less than 500 shares, they are shown as “–”.


13


Statement of Financial Position – (continued)Total NAV

(000’s)No. Shares

(000’s)* NAV/Share

EnTrustPermal Alternative Income StrategyAs at 31 December 2018Class A US$ Accumulating $8,179 80 $101.97Class A US$ Distributing Plus (Q) $603 6 $93.13Class A Accumulating Euro (Hedged) €14,340 150 €95.47Class A Euro Distributing Plus (Q) (Hedged) €8,184 94 €87.36Class Euro Accumulating (Hedged) €1 – €93.98Class F US$ Accumulating $1 – $95.97Class R US$ Accumulating $959 9 $106.33Class R US$ Distributing Plus (Q) $686 7 $97.20Class R Euro Accumulating (Hedged) €187,957 1,872 €100.42Class R Euro Distributing Plus (Q) (Hedged) €28,998 316 €91.87Class R GBP Distributing Plus (Q) (Hedged) £1,662 18 £91.70Class S US$ Accumulating $2,250 21 $104.98Class S Euro Accumulating (Hedged) €215 2 €99.10Class X Euro Accumulating (Hedged) €7,630 76 €99.87Premier Class US$ Accumulating $25,630 246 $104.36Premier Class US$ Distributing Plus (Q) $11 – $95.44Premier Class Accumulating Euro (Hedged) €54,875 560 €97.91Premier Class Euro Distributing Plus (Q) (Hedged) €1,210 13 €89.92Premier Class CHF Accumulating (Hedged) CHF72 1 CHF96.07Premier Class GBP Accumulating (Hedged) £291 3 £94.88

* If a class has less than 500 shares, they are shown as “–”.


14


Statement of Comprehensive IncomeEnTrustGlobal Alternative

Income Strategy*

Note

For the periodended

31 December 2019’000’sUS$

For the periodended

31 December 2018’000’sUS$

INVESTMENT INCOMEGross dividend income 214 492Interest income 5,950 10,223Other Income – 2Equalisation (160) (554)Net gain/(loss) on financial assets and liabilities at fair value through profit or loss:

Net realised loss on financial instruments held for trading (7,334) (37,061)Net unrealised (loss)/gain on financial instruments held for trading (1,282) 6,644

Total Investment Loss (2,612) (20,254)

EXPENSESInvestment Manager fees 4 (774) (1,387)Sub-Adviser fees 4 (1,418) (2,331)Administrator and Depositary fees 4 (298) (402)Shareholder service fees 4 (36) (66)Audit fees 4 (21) (15)Directors fees and expenses 4 (8) (15)Legal fees (160) (199)Other expenses (142) (148)

Total Expenses (2,857) (4,563)

Loss before finance costs (5,469) (24,817)

FINANCE COSTS:Distribution paid 5 (810) (1,559)Interest expense (74) –

Loss for the financial period (6,353) (26,376)

Witholding tax on dividends and other taxation (57) (119)

Decrease in Net Assets attributable to Holders of Redeemable Participating Shares (6,410) (26,495)


** Amounts shown as “–” are less than US$500.


15


Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares

EnTrustGlobal AlternativeIncome Strategy*

For the periodended

31 December 2019(’000’s)

US$

For the periodended

31 December 2018(’000’s)

US$Net Decrease in net assetsattributable to holders ofredeemable participatingshares (6,410) (26,495)

REDEEMABLE PARTICIPATINGSHARE TRANSACTIONS

Net proceeds from sales of shares 10,903 31,809Net proceeds from reinvesteddistributions – 113Cost of shares reacquired (55,721) (142,828)

Decrease in Net Assets fromRedeemable Participating Sharetransactions (44,818) (110,906)Decrease in net assets attributableto holders of redeemableparticipating shares (51,228) (137,401)

NET ASSETS ATTRIBUTABLE TOHOLDERS OF REDEEMABLEPARTICIPATING SHARES 314,881

Beginning of period 525,915

End of period 263,653 388,514

EnTrustGlobal AlternativeIncome Strategy

For the period ended31 December 2019

(000’s)**Class A US$ AccumulatingSold –Redeemed (10)

Net Decrease (10)

Class A US$ Distributing Plus (Q)Sold –Redeemed –

Net Decrease –

Class A Accumulating Euro (Hedged)Sold 1Redeemed (34)

Net Decrease (33)

Class A Euro Distributing Plus (Q) (Hedged)Sold 3Redeemed (4)

Net Decrease (1)

Class E Euro Accumulating (Hedged)Sold –Redeemed –

Net Decrease –

Class F US$ AccumulatingSold –Redeemed –

Net Decrease –

Class R US$ AccumulatingSold –Redeemed (2)

Net Decrease (2)

Class R US$ Distributing Plus (Q)Sold –Redeemed –

Net Increase –


** If there are less than 500 shares, they are shown as “–”.

EnTrustGlobal AlternativeIncome Strategy


(000’s)**Class R Euro Accumulating (Hedged)Sold 46Redeemed (223)

Net Decrease (177)

Class R Euro Distributing Plus (Q) (Hedged)Sold 9Redeemed (35)

Net Decrease (26)

Class X Euro Accumulating (Hedged)Sold 4Redeemed (17)

Net Decrease (13)

Premier Class US$ AccumulatingSold –Redeemed (6)

Net Decrease (6)

Premier Class US$ Distributing Plus (Q)Sold –Redeemed –

Net Increase –

Premier Class Accumulating Euro (Hedged)Sold 33Redeemed (165)

Net Decrease (132)

Premier Class Euro Distributing Plus (Q) (Hedged)Sold –Redeemed (2)

Net Decrease (2)


16


Statement of Changes in Net Assets Attributable to Holders of Redeemable Participating Shares –(continued)



(‘000's)**Class A US$ AccumulatingSold 10Redeemed (48)

Net Decrease (38)

Class A US$ Distributing Plus (Q)Sold –Redeemed (1)

Net Decrease (1)

Class A Accumulating Euro (Hedged)Sold 16Redeemed (224)

Net Decrease (208)

Class A Euro Distributing Plus (Q) (Hedged)Sold 2Redeemed (6)

Net Decrease (4)

Class E Euro Accumulating (Hedged)Sold –Redeemed –

Net Decrease –

Class F US$ AccumulatingSold –Redeemed –

Net Increase –

Class R US$ AccumulatingSold 1Redeemed –

Net Increase 1

Class R US$ Distributing Plus (Q)Sold 3Redeemed (1)

Net Increase 2

Class R Euro Accumulating (Hedged)Sold 100Redeemed (259)

Net Decrease (159)

Class R Euro Distributing Plus (Q) (Hedged)Sold 16Redeemed (42)

Net Decrease (26)


** If there are less than 500 shares, they are shown as “–”.



(‘000's)**Class R GBP Distributing Plus (Q) (Hedged)Sold 3Redeemed (27)

Net Decrease (24)

Class S US$ AccumulatingSold –Redeemed –

Net Decrease –

Class S Euro Accumulating E (Hedged)Sold (10)Redeemed –

Net Decrease (10)

Class X Euro Accumulating (Hedged)Sold 17Redeemed (101)

Net Decrease (84)

Premier Class US$ AccumulatingSold 2Redeemed (15)

Net Decrease (13)

Premier Class US$ Distributing Plus (Q)Sold –Redeemed –

Net Increase –

Premier Class Accumulating Euro (Hedged)Sold 93Redeemed (505)

Net Decrease (412)

Premier Class Euro Distributing Plus (Q) (Hedged)Sold –Redeemed (1)

Net Decrease (1)

Premier Class CHF Accumulating (Hedged)Sold –Redeemed (3)

Net Decrease (3)

Premier Class GBP Accumulating (Hedged)Sold 3Redeemed (10)

Net Decrease (7)


17


Notes to Financial Statements1. Background

Legg Mason Alternative Funds ICAV (the “ICAV”) is an open-ended Irish Collective Asset-management Vehicle with variable capital formed under the laws of Ireland andpursuant to the Irish Collective Asset-management Vehicles Act 2015 (“The ICAV Act”). The ICAV is authorised by the Central Bank of Ireland (the “Central Bank”), underthe European Communities (Undertaking for Collective Investment in Transferable Securities) Regulations, 2011 (as amended), and under The Central Bank (Supervision AndEnforcement) Act 2013 (Section 48(1) (Undertakings For Collective Investment In Transferable Securities) Regulations 2019) (together the “UCITS Regulations”). It wasformed on 17 July 2015 with registration number C139549. Its objective, as set out in the ICAV’s Instrument of Incorporation, is the collective investment in transferablesecurities and other liquid financial assets of capital raised from the public. The ICAV is organised in the form of an umbrella fund. The Instrument of Incorporation providesfor separate sub-funds, each representing interests in a defined portfolio of assets and liabilities, which may be established from time to time with the prior approval of theCentral Bank. The Instrument of Incorporation of the ICAV also provides that the ICAV may offer separate classes of shares, each representing interests in a sub-fundcomprising a distinct portfolio of investments. A separate portfolio of assets shall not be maintained for a class. Currently only 1 sub-fund, the EnTrustGlobal AlternativeIncome Strategy (“the Fund”) (formerly known as EnTrustPermal Alternative Income Strategy) has been established by the ICAV. The Fund formed on 17 July 2015 and waslaunched on 25 August 2015. The Fund’s investment objective is to seek total return comprised of capital appreciation and income. The Fund is a multi-manager, multi-strategy fund that seeks to achieve its investment objective by allocating its assets to a select group of discretionary sub-investment advisers (“Sub-Advisers”) that employ avariety of investment strategies.

The ICAV is authorised by the Central Bank, under the European Communities (Undertaking for Collective Investment in Transferable Securities) Regulations, 2019 (asamended), and under UCITS Regulations. It was formed on 17 July 2015 with registration number C139549.

Sub-Advisers

Legg Mason Investments (Ireland) Limited (the “Manager”) appointed EnTrustGlobal Ltd. (the “Investment Manager”) as the Investment Manager on 22 July 2019 tomanage the investment and reinvestment of the Fund’s assets. On 22 July 2019, EnTrustPermal Ltd. ceased acting as the Investment Manager. Under the InvestmentManagement Agreement, the Investment Manager may delegate its investment management functions to one or more Sub-Advisers, provided the appointment of eachSub-Adviser is in accordance with the requirements of the Central Bank.

During the period covered by this report, the Investment Manager had engaged the following entities as Sub-Advisers to provide investment management services to the Fund:

• Axonic Capital LLC

• Brevan Howard Asset Management LLP

• Eiffel Investment Group

• Gracie Capital LP

• Gramercy LLC

• Twin Capital Management LLC

Certain information concerning the Sub-Advisers will be provided by the Investment Manager, free of charge, upon a Shareholder’s request and shall be available at theinternet address http://www.entrustglobal.com.

2. Significant Accounting Policies

(a) Basis of Preparation

The ICAV financial statements have been prepared in accordance with Financial Reporting Standard 104 (“FRS 104”), “Interim Financial Reporting”, Irish statute comprisingof the ICAV Act and the UCITS Regulations. The financial statements have been prepared on a going concern basis for the ICAV under the historical cost convention asmodified by the revaluation of financial assets and financial liabilities held at fair value through the profit or loss.

These condensed unaudited financial statements should be read in conjunction with the Company’s annual audited financial statements for the year ended 30 June 2019,which have been prepared in accordance with FRS 102, Irish Statute comprising of the ICAV Act and the UCITS Regulations. The ICAV has availed of the exemption availableto open-ended investment funds under Section 7 “Statement of Cash Flows” of FRS 102, not to prepare a cash flow statement on the basis that substantially all of theICAV’s investments are highly liquid and carried at fair value and the ICAV provides a Statement of Changes in Net Assets Attributable to Holders of RedeemableParticipating Shares.

All references to net assets throughout this document refer to net assets attributable to holders of Redeemable Participating Shares unless otherwise stated. All the ICAV’sassets and liabilities are held for the purposes of being traded or are expected to be realised within one period.

3. Efficient Portfolio Management

Subject to the conditions and within the limits from time to time laid down by the Central Bank, and except as otherwise stated in the investment objective and policies of a fund,a Fund may engage in transactions in financial derivative instruments, whether for efficient portfolio management purposes (i.e. hedging, reducing risks or costs, or increasingcapital or income returns) or investment purposes. Furthermore, new techniques and instruments may be developed which may be suitable for use by the Fund in the future anda Fund may employ such techniques and instruments subject to the prior approval of, and any restrictions imposed by, the Central Bank.

For UCITS which have engaged in efficient portfolio management techniques, under UCITS Notice 8.5, a UCITS is required to disclose the revenues arising from repurchaseagreements and stocklending transactions for the entire reporting period together with the direct and indirect operational costs and fees incurred. There were no suchtechniques employed for the period end 31 December 2019 (year ended 30 June 2019: None).

There was no repurchase agreements or security lending contracts entered into during the period ended 31 December 2019 (year ended 30 June 2019: None).

4. Operating Expenses and Other Related Party Transactions

Pursuant to the Management Agreement between the ICAV and Legg Mason Investments (Ireland) Limited, the Manager shall be entitled to receive a management fee outof the assets of the relevant Fund for its services as the Manager, which shall accrue on each Dealing Day and be payable monthly in arrears (the “Management Fee”). TheICAV shall also be responsible for the prompt payment or reimbursement to the Manager of any commissions, transfer fees, registration fees, taxes and similar liabilities,costs and out-of-pocket expenses properly payable or incurred by the Manager on behalf of the ICAV. The Manager shall be responsible for paying the fees (excluding theperformance fee described below) and out-of-pocket expenses of the Investment Manager out of its own Management Fee. The maximum Management Fee for eachlaunched Share Class, at 31 December 2019 (expressed as a percentage of the Fund’s net asset value (“NAV”) attributable to such Share Class) is as follows:

EnTrustGlobal Alternative Income Strategy** Maximum Management Fee*

Class A US$ Accumulating 2.25%Class A US$ Distributing Plus (Q) 2.25%Class A Accumulating Euro (Hedged) 2.25%Class A Euro Distributing Plus (Q) (Hedged) 2.25%Class E Euro Accumulating (Hedged) 2.50%Class F US$ Accumulating 1.90%Class R US$ Accumulating 1.65%Class R US$ Distributing Plus (Q) 1.65%Class R Euro Accumulating (Hedged) 1.65%Class R Euro Distributing Plus (Q) (Hedged) 1.65%Class R GBP Distributing Plus (Q) (Hedged) 1.65%Class S US$ Accumulating 1.50%

18


Notes to Financial Statements – (continued)4. Operating Expenses and Other Related Party Transactions – (continued)

EnTrustGlobal Alternative Income Strategy** Maximum Management Fee*

Class S Euro Accumulating (Hedged) 1.50%Class X Euro Accumulating (Hedged) 1.65%Premier Class US$ Accumulating 1.65%Premier Class US$ Distributing Plus (Q) 1.65%Premier Class Accumulating Euro (Hedged) 1.65%Premier Class Euro Distributing Plus (Q) (Hedged) 1.65%Premier Class CHF Accumulating (Hedged) 1.65%Premier Class GBP Accumulating (Hedged) 1.65%

* The Maximum Management Fee includes the Management Fee, Investment Management Fee and Distribution Fee payable by the Manager, Investment Manager and/or the Distributor, as applicable on each Share Class of the Fund as well as a Sub-Adviser fee payable pursuant to the terms of the sub-advisory agreements betweenthe Investment Manager and each Sub-Adviser.

** Formerly known as EnTrustPermal Alternative Income Strategy.

Expense Waivers

The Manager may voluntarily undertake to reduce or waive its Management Fee or to make other arrangements to reduce the expenses of the Fund to the extent that suchexpenses exceed such lower expense limitation as the Manager may, by notice to the Shareholders, voluntarily declare to be effective. The Manager has currentlyundertaken to reimburse the Fund so that “Specified Expenses” (as described below) of each Class in the Fund’s financial year do not exceed the percentage of the averagedaily NAV of such Class listed above. “Specified Expenses” is defined to include all expenses incurred in the business of the Fund, which include offering costs,administration fees, management fees, investor servicing fees and custody fees. “Specified Expenses” does not include the following: (i) establishment expenses relating tothe Fund; (ii) Performance Fees or Additional Performance Fees; (iii) distributor fees; (iv) Eligible Collective Investment Scheme fees and expenses; (v) brokerage and tradingcosts; (vi) interest payments; (vii) taxes; or (viii) extraordinary expenses. The Manager may terminate or modify this arrangement at any time at its sole discretion upon30 days’ notice in writing to the Fund’s Shareholders.

Shareholder service fees are payable on all Share Classes except: Class R Share Classes, Class S Share Classes and Premier Share Classes, (each as defined in the Prospectus).

During the period ended 31 December 2019 the total amount reimbursed for Investment Manager fees on the Fund was US$Nil (period ended 31 December 2018 US$Nil)and the total amount reimbursed for shareholder services fees on the Fund was US$Nil (period ended 31 December 2018: US$Nil).

Administrator and Depositary Fees

State Street Custodial Services (Ireland) Limited acts as Depositary and State Street Fund Services (Ireland) Limited acts as Administrator to the ICAV. For administration,accounting, shareholder, trustee and custodial services they collectively receive from the Fund fee of up to 0.20% per annum of the NAV of the Fund.

Performance Fees

The Investment Manager and each of the Sub-Advisers are be entitled to receive a fee (a ‘‘Performance Fee’’) depending on the performance of the Share Classes of theFund. For the purposes of calculating such performance fees, the term “Performance Period” means the period beginning on 1 July and ending on 30 June of each year,with the exception of the first Performance Period for a Share Class, which will begin upon the initial issue of shares in that Share Class and end on the following 30 Juneand the first Performance Period for a Portfolio, which will begin upon the appointment of such Sub-Adviser to manage said Portfolio and will end on the following 30 June.

Investment Manager Performance Fee: Under the terms of the Investment Management Agreement, the ICAV will pay to the Investment Manager out of the assets of theFund a Performance Fee on each Share Class; provided that the Performance Fee on a Share Class is payable only if the NAV of such Share Class (before any accruals ofPerformance Fees or Additional Performance Fees, as defined below) has increased by at least 4 per cent at the end of the relevant Performance Period from the NAV ofsuch Share Class as at the end of the prior Performance Period, or in the case of the first Performance Period, the Initial Offer Price of such Share Class (the “InvestmentManager Hurdle Rate”). The Investment Manager Hurdle Rate shall be proportionately reduced for any Performance Period that is less than 365 days. The Performance Feeshall be equal to 15 per cent of the New Net Appreciation (as defined below) of the relevant Share Class during the Performance Period above the Investment ManagerHurdle Rate.

The Performance Fee (if any) will accrue each Dealing Day. The amount accrued on each Dealing Day will be determined by calculating the Performance Fee that would bepayable if that day was the last day of the current Performance Period. The Performance Fee will be payable by the Fund to the Investment Manager annually in arrearswithin 45 calendar days of the end of each Performance Period. The calculation of the Performance Fee shall be based upon unaudited information but will be verified bythe Depositary.

Sub-Adviser Performance Fees: Under the terms of the sub-advisory agreements between the Investment Manager and the Sub-Advisers, the Investment Manager shall payeach Sub-Adviser a performance fee (the “Sub-Adviser Performance Fee”); provided that the Sub-Adviser Performance Fee is payable on a Sub-Adviser’s Portfolio only if theNAV of such Portfolio (before any accruals of Sub-Adviser Performance Fees) has increased by at least 4 per cent at end of relevant Performance Period from the NAV ofsuch Portfolio as at the end of the prior Performance Period (the “Sub-Adviser Hurdle Rate”). The Sub-Adviser Hurdle Rate shall be proportionately reduced for anyPerformance Period that is less than 365 days. The Sub-Adviser Fee shall be equal to 10 per cent of the New Net Appreciation (as defined below) of the Portfolio allocated tosuch Sub-Adviser during the Performance Period above the Sub-Adviser Hurdle Rate. The Sub-Adviser is entitled to receive such Sub-Adviser Performance Fee until suchtime, if ever, that the Sub-Adviser ceases to manage the Portfolio (the “Term of Appointment” ). A Sub-Adviser may waive their right to receive a Sub-Adviser PerformanceFee, in which case no Sub-Adviser Performance Fee will be applicable in respect of the Portfolio managed by that Sub-Adviser. The Sub-Adviser Performance Fee will becalculated and accrued daily during the Term of Appointment and for each Performance Period. Where a Sub-Adviser is entitled to receive a Sub-Adviser Performance Fee ina Performance Period, all or part of that Sub-Adviser Performance Fee, depending upon the arrangements with that Sub-Adviser, will be paid to the Sub-Adviser for thatPerformance Period. Upon the termination of a Sub-Adviser’s appointment, any Sub-Adviser Performance Fees owed will be paid in full. The calculation of any Sub-AdviserPerformance Fee must be verified by the Depositary.

Additional Performance Fee: The Investment Manager will pay the Sub-Adviser Performance Fees for a particular Performance Period out of the Performance Fee paid to itfor such Performance Period. However, if, as of the end of any Performance Period, the sum of all Sub-Adviser Performance Fees payable to Sub-Advisers in respect of aPerformance Period exceeds the Performance Fee payable to the Investment Manager, the Fund will pay an additional amount (the “Additional Performance Fee”) to theInvestment Manager which shall, in turn, remit the Additional Performance Fee to the relevant Sub-Adviser to cover the shortfall. This may occur where, for example, duringa Performance Period one or more Sub-Advisers add value in respect of their Portfolio, while other Sub-Advisers add negative value with respect to their respectivePortfolios. Any such Additional Performance Fee paid by the Fund will be deducted from the Investment Manager’s Performance Fee before payment to the InvestmentManager in subsequent Performance Periods; provided that upon a redemption, the amount of the Additional Performance Fee to be deducted from the InvestmentManager’s Performance Fee in subsequent Performance Periods shall be decreased by an amount proportionate to the percentage of outstanding Shares redeemed in therelevant Class. For the avoidance of doubt, if the Fund or the Investment Management Agreement is terminated following the payment of an Additional Performance Fee,the Investment Manager shall not be required to reimburse the Fund such Additional Performance Fee.

High-Water Mark/Loss Carry-Forward: The Investment Manager and Sub-Advisers are entitled to receive Performance Fees or Sub-Adviser Fees during a Performance Periodonly if the NAV of a particular Share Class or Sub-Adviser Portfolio has appreciated above the previous high-water mark achieved for the relevant Share Class or Portfolio.

The term “New Net Appreciation” is used for purposes of calculating the high-water mark and represents the excess, if any, of the positive performance of a Share Class (orPortfolio in the case of the Sub-Adviser Performance Fee) during a Performance Period over any loss carry-forward applicable at the start of such period, adjusted daily forinvestor redemptions during that period. New Net Appreciation is calculated with reference to the Cumulative Performance Account and, for any Performance Period, shallequal the positive balance (if any) of such account at the end of the period.

Performance fees accrued for the period ended 31 December 2019 were US$Nil (period ended 31 December 2018: US$Nil).

19


Notes to Financial Statements – (continued)4. Operating Expenses and Other Related Party Transactions – (continued)

Directors’ Remuneration

Directors’ fees accrued for the period ended 31 December 2019 were US$8,322 (period ended 31 December 2018: US$15,353).

Director’s fees are not payable in respect of Joseph Carrier, Jane Trust, Victoria Rock and Jaspal Sagger who are employees of the Investment Manager or its affiliates.

Other Related Party Transactions

As at 31 December 2019, a wholly owned company of Legg Mason Inc., LM International Holdings LP, held 0.0062% (30 June 2019: 0.0052%) of the issued share capital of the Fund.

As at 31 December 2019, one institution held 67.62% of the redeemable participating shares of the Fund (30 June 2019: 65.15%).

5. Distributions to Holders of Redeemable Participating Shares

Distributing Share Classes

The letter in parentheses at the end of the name of each Distributing Share Class indicates a particular frequency of dividend declarations and dividend payments, asdetailed in the following table.

Distributing Share Class Designation Frequency of Dividend Declarations Frequency of Dividend Payments

(D) Daily Monthly(M) Monthly Monthly(Q) Quarterly Quarterly (October, January, April, July)(S) Semi-Annually Semi-Annually (January, July)(A) Annually Annually (July)

For each Distributing Share Class, at the time of each dividend declaration: (1) all, or some portion of, net investment income, if any, will be declared as a dividend; and(2) all, or some portion, of realised and unrealised capital gains net of realised and unrealised capital losses may be, but is not required to be, declared as a dividend.

Distributing Plus Share Classes, may charge certain fees and expenses to capital rather than income, and there is an increased risk that investors in these Share Classes may notreceive back the full amount invested when redeeming their holding. The declaration of distributions in Distributing Plus Share Classes could result in the erosion of capital forinvestors in those Distributing Plus Share Classes and that increased income will be achieved by foregoing some of the potential for future capital growth. The Distributing PlusShare Classes paid a distribution of US$810,283 (period ended 31 December 2018: US$1,559,386) out of which US$246 were reinvested in the Fund at 31 December 2019(31 December 2018: US$113,193).

During the period, the Fund paid distributions out of capital on Distributing Plus Share Classes:

Share Class

Distributions out of capitalfor the period ended

31 December 2019

Distributions out of capitalfor the period ended

31 December 2018

Class A US$ Distributing Plus (Q) $2,579 $12,189Class A Euro Distributing Plus (Q) (Hedged) €159,653 €189,059Class R US$ Distributing Plus (Q) $630 $8,362Class R Euro Distributing Plus (Q) (Hedged) €252,541 €496,520Class US$ Distributing Plus (Q) $165 $164Premier Class Euro Distributing Plus (Q) (Hedged) €15,522 €22,272Class R GBP Distributing Plus (Q) (Hedged) – £51,865

Accumulating Share Classes

With respect to Accumulating Share Classes, it is intended that, in the normal course of business, distributions will not be declared and that any net investment incomeattributable to each Accumulating Share Class will be accumulated daily in the respective NAV per share of each respective Share Class.

6. Connected Persons

Regulation 43 of the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective Investment in Transferrable Securities) Regulations2019 (“Central Bank Regulations”) states that “a responsible person shall ensure that any transaction between the UCITS Regulations and a connected person is conducted(a) at arm’s length; and (b) in the best interest of the unitholders of the UCITS”.

As required under UCITS Regulation 78(4) of the Central Bank Regulations, the Directors are satisfied that there are in place arrangements, evidenced by written procedures,to ensure that the obligations that are prescribed by Regulation 43(1) are applied to all transactions with a connected person; and all transactions with connected personsthat were entered into during the period to which the report relates complied with the obligations that are prescribed by Regulation 43(1).

7. Taxation

Under current Irish law and practice, the ICAV qualifies as an investment undertaking as defined in Section 739B of the Taxes Consolidation Act, 1997 (as amended). On thatbasis, the ICAV will not generally be liable to Irish tax in respect of its income and gains, other than on the occurrence of a chargeable event. Generally a chargeable event ariseson any distribution, redemption, repurchase, cancellation, transfer of shares or on the ending of a ‘Relevant Period’, a ‘Relevant Period’ being an eight year period beginningwith the acquisition of the shares by the shareholders and each subsequent period of eight years beginning immediately after the preceding Relevant Year.

No Irish tax will arise on the ICAV in respect of chargeable events in respect of:

(i) a shareholder who is neither Irish resident nor ordinarily resident in Ireland for tax purposes, at the time of the chargeable event, provided an appropriate validdeclaration is in place, or the ICAV has been authorised by Irish Revenue to make gross payments in the absence of appropriate declarations; and

(ii) certain exempted Irish tax resident shareholders who have provided the ICAV with the necessary signed statutory declarations.

In addition, any transaction (which might otherwise be a chargeable event) in relation to shares held in a recognised clearing system as designated by order of the IrishRevenue Commissioners will not constitute a chargeable event.

In the absence of an appropriate declaration, the ICAV will be liable to Irish tax on the occurrence of a chargeable event. There were no chargeable events during the periodunder review.

Capital gains, dividends and interest received may be subject to taxes, including withholding taxes imposed by the country of origin and such taxes may not be recoverableby the Fund or its shareholders.

8. Cash and Cash Equivalents

Cash at bank and cash held for diversification is included within cash and cash equivalents. Cash at bank is held with State Street Bank and Trust and its sub-depositories.Cash held for diversification is held with Citibank and BNP Paribas.

Counterparty

Cash at bank(‘000’s)

31 December 2019US$

Cash held fordiversification

(‘000’s)31 December 2019

US$

Cash at bank(‘000’s)

30 June 2019US$

Cash held fordiversification

(‘000’s)30 June 2019

US$BNP Paribas – 6,771 – 7,619Citibank – 12,050 – 13,300State Street Bank and Trust 25,820 – 36,354 –

Total amount 25,820 18,821 36,354 20,919

20


Notes to Financial Statements – (continued)8. Cash and Cash Equivalents – (continued)

Cash collateral relates to cash provided to brokers for collateral purposes. As at 31 December 2019, cash collateral is held for options and swaps by JP Morgan, BarclaysBank, Credit Suisse and Morgan Stanley.

Counterparty

Cash collateral(‘000’s)

31 December 2019US$

Cash collateral(‘000’s)

30 June 2019US$

Barclays Bank 2,793 2,526Credit Suisse 2,251 1,374JP Morgan 3,196 1,490Morgan Stanley 4,636 5,797

Total amount 12,876 11,187

Counterparty

Due to broker(‘000’s)

31 December 2019US$


30 June 2019US$

Barclays Bank (2,281) (2,281)JP Morgan (510) (510)Morgan Stanley (270) –

Total amount (3,061) (2,791)

Cash at broker relates to cash provided to brokers for margin requirements for futures, options and swaps. As at 31 December 2019, margin cash is held with Credit Suisseand Barclays Bank.

Counterparty

Margin cash(‘000’s)

31 December 2019US$

Margin cash(‘000’s)

30 June 2019US$

Barclays Bank 4,767 9,441Credit Suisse 6,025 4,724

Total amount 10,792 14,165

Counterparty


31 December 2019US$

Due to broker30 June 2019

(‘000’s)US$

Barclays Bank (874) (736)Credit Suisse (1,335) (1,343)

Total amount (2,209) (2,079)

9. Commitments and Contingent Liabilities

There were no significant commitments or contingent liabilities at the Statement of Financial Position date (30 June 2019 Nil).

10. Soft Commission Arrangements

The Investment Manager or Sub-Advisers may direct transactions to brokers in return for research services. In such circumstances, the Investment Manager or Sub-Advisersmay enter into soft commission agreements or similar arrangements with such brokers. Under such arrangements, the Investment Manager or Sub-Advisers must ensurethat the broker or counterparty to the arrangement has agreed to provide best execution to the Fund and that the benefit provided assists the Investment Manager orSub-Advisers in their provision of investment services to the Fund. The total value of soft commission arrangements entered into on behalf of the Fund for the period ended31 December 2019 is US$Nil (period ended 31 December 2018: US$Nil).

11. Exchange Rates

The following exchange rates were used in these financial statements to obtain the equivalent U.S. Dollar amounts.

USD CountryExchange rates as at

31 December 2019Exchange rates as at

30 June 2019Australian Dollar 1.4250 1.4244Brazilian Real 4.0227 3.8400British Pound 0.7549 0.7874Canadian Dollar 1.2986 1.3096Chilean Peso 751.9500 677.6250Euro 0.8915 0.8794Hong Kong Dollar 7.7923 7.8117Hungarian Forint 295.0567 284.1088Indian Rupee 71.3782 69.0275Israeli New Shekel 3.4533 3.5688Japanese Yen 108.6550 107.8150Mexican Peso 18.9075 19.1938New Zealand Dollar 1.4854 1.4885Norwegian Krone 8.7793 8.5305Philippine Peso 50.6450 51.2350Polish Zloty 3.7939 3.7337Russian Ruble 62.0663 63.2363Singapore Dollar 1.3450 1.3530South African Rand 14.0060 14.0850South Korean Won 1,156.4500 1,154.6500Swedish Krona 9.3664 9.2862Swiss Franc 0.9678 0.9762Thailand Baht 29.9538 30.6675Turkish Lira 5.9490 5.7905

12. Direct Brokerage Services

During the period ending 31 December 2019, the ICAV did not utilise any direct brokerage services (year ending 30 June 2019: None).

21


Notes to Financial Statements – (continued)13. Risk Exposure and Risk Management

The Investment Manager is responsible for selecting the investment strategies in which the Fund invests and identifying and retaining Sub-Advisers with expertise in theselected investment strategies. The Investment Manager seeks to reduce risk and volatility in the Fund through diversification of the Fund’s exposure to multiple Sub-Advisers and investment strategies.

The securities and instruments in which the Funds invest are subject to normal market fluctuations and other risks inherent in investing in such investments, and there canbe no assurance that any appreciation in value will occur. There can be no assurance that a Fund will achieve its investment objective.

In pursuing its investment objectives, the ICAV holds financial derivative instruments (“FDIs”). The ICAV’s financial derivative instruments held at 31 December 2019 aredisclosed in the Portfolio of Investments.

The main risks arising from the ICAV’s financial instruments are market risk, liquidity risk and credit risk.

EnTrustGlobal Ltd. operates a risk management process on behalf of the Fund in relation to the Fund’s use of FDIs which allows EnTrustGlobal Ltd. to measure, monitor andmanage various risks associated with FDIs and which is intended to ensure that the Fund’s FDI exposure remains within the limits described below. The risk managementprocess is described in a statement, a copy of which has been filed with the Central Bank, and which will be updated from time to time to include any additional FDIs whicha Sub-Adviser or EnTrustGlobal Ltd. proposes to employ on behalf of the Fund (the “Risk Management Process”). Until such time as the Risk Management Process has beenupdated and cleared by the Central Bank, however, neither a Sub-Adviser nor EnTrustGlobal Ltd. will use any FDI which is not for the time being included in the RiskManagement Process.

EnTrustGlobal Ltd. pursuant to various sub-adviser agreements, delegates certain investment management responsibilities in relation to Portfolios to Sub-Advisersrepresenting distinct investment styles and expertise in an asset class.

The ICAV’s financial risk management objectives and policies continue to be consistent with those disclosed in the ICAV’s Annual Report and Audited Financial Statementsas at and for the financial year ended 30 June 2019.

Fair Value Estimation

The ICAV classifies fair value measurements using a fair value hierarchy that reflects the significance of the inputs used in making the measurements.

The fair value hierarchy has the following levels:

Level 1: The unadjusted quoted price in an active market for identical assets or liabilities that the entity can access at the measurement date.

Level 2: Inputs other than quoted prices included within Level 1 that are observable (ie developed using market data) for the asset or liability, either directly orindirectly.

Level 3: Inputs are unobservable (ie for which market data is unavailable) for the asset or liability.

The level in the fair value hierarchy within which the fair value measurement is categorised in its entirety is determined on the basis of the lowest level input that issignificant to the fair value measurement in its entirety. For this purpose, the significance of an input is assessed against the fair value measurement in its entirety. If a fairvalue measurement uses observable inputs that require significant adjustment based on unobservable inputs, that measurement is a Level 3 measurement. Assessing thesignificance of a particular input to the fair value measurement in its entirety requires judgement, considering factors specific to the asset or liability.

The determination of what constitutes “observable” requires significant judgement by the Investment Manager. The Investment Manager considers observable data to bethat market data that is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are activelyinvolved in the relevant market.

For each class of assets and liabilities not measured at fair value in the Statement of Financial Position but for which fair value is disclosed, FRS 102 requires the ICAV todisclose the level within the fair value hierarchy which the fair value measurement would be categorised and a description of the valuation technique and inputs used in thetechnique.

Assets and liabilities not carried at fair value are carried at amortised cost; their carrying values are a reasonable approximation of fair value.

Cash and cash equivalents include deposits held with banks and other short-term investments in an active market and they are categorised as Level 2.

Receivable for investments sold and other receivables include the contractual amounts for settlement of trades and other obligations due to the ICAV. Payable forinvestments purchased and other payables represent the contractual amounts and obligations due by the ICAV for settlement of trades and expenses. All receivable andpayable balances are categorised as Level 2.

The puttable value of redeemable shares is calculated based on the net difference between total assets and all other liabilities of each Fund within the ICAV in accordancewith the Funds’ offering documentation. These shares are not traded on an active market. A demand feature is attached to these shares, as they are redeemable at theholders’ option and can be put back to the Fund at any dealing date for cash/assets equal to a proportionate share of the Fund’s NAV attributable to the Share Class.

The fair value is based on the amount payable on demand, discounted from the first date that the amount could be required to be paid. The impact of discounting in thisinstance is not material. As such, Level 2 is deemed to be the most appropriate categorisation for net assets attributable to holders of redeemable shares held.

All forward foreign exchange contracts are classified as Level 2 since they are valued using observable inputs but are not quoted in an active market.

There were no transfers between levels during the period ended 31 December 2019 and year ended 30 June 2019.

The following table analyses under the fair value hierarchy the Funds’ financial assets and financial liabilities measured at fair value at 31 December 2019 and 30 June 2019:

EnTrust Global Alternative Income Strategy Fundas at 31 December 2019

(000’s)US$

EnTrust Global Alternative Income Strategy Fundas at 30 June 2019

(000’s)US$

Level 1Bonds – –Equity Instruments 22,324 28,547Rights 438 –Warrant – 3Derivative assets held for trading 424 807Derivative liabilities held for trading (308) (773)

22,878 28,584

Level 2Bonds 178,472 201,626Equity Instruments – –Preferred Stock – –Derivative assets held for trading 3,348 10,978Derivative liabilities held for trading (4,772) (5,783)

177,048 206,821

Total Investments US$199,926 US$235,405

22


Notes to Financial Statements – (continued)14. Significant Shareholders

The following tables detail the number of shareholders with significant holdings of at least 20 per cent of the ICAV and the percentage of that holding of the ICAV’s NAV asat 31 December 2019 and 30 June 2019.

Fund

Number ofsignificant

shareholdersTotal holding as at31 December 2019

Aggregate shareholdingas a % of the Fund

EnTrustGlobal Alternative Income Strategy 1 1,583,979 67.62

Fund

Number ofsignificant

shareholdersTotal holding as at

30 June 2019Aggregate shareholding

as a % of the Fund

EnTrustGlobal Alternative Income Strategy 1 1,790,661 65.15

15. Significant Events

A new Prospectus and Fund Supplement was issued on 22 July 2019.

On 22 July 2019, the Central Bank approved the change of name of the Fund to EnTrust Global Alternative Income Strategy.

On 22 July 2019, EnTrustPermal Ltd. ceased acting as the Investment Manager to the ICAV. EnTrust Global Ltd. was appointed as the Investment Manager to the ICAV.

Effective 23 July 2019, the quoted market price used for long positions including those held as financial derivative instruments by the ICAV changed from the current bid-price to the current mid-price.

Effective 19 September 2019, Jaspal Sagger and Victoria Rock were appointed as Directors to the ICAV.

There were no other events during the period, which require adjustment to, or disclosure in the financial statements.

16. Segregated Liability

The ICAV is an umbrella fund with segregated liability between its sub-funds. As such, as a matter of Irish law the assets of each of the Funds will not be exposed to theliabilities of the ICAV’s other sub-funds. Notwithstanding the foregoing there can be no assurance that, should an action be brought against the ICAV in the court ofanother jurisdiction, the segregated nature of the sub-funds would necessarily be upheld. As at 31 December 2019 there was only one sub-fund launched in the ICAV(30 June 2019: none).

17. Subsequent Events

There were no events since the period end, which require adjustment to or disclosure in the financial statements.

18. Approval of the Report

On 18 February 2020, the Semi-Annual Report and unaudited financial statements were presented to and noted by the Board of Directors and were approved for filing withthe Central Bank and for circulation to the shareholders.

23


Statement of Major Portfolio Changes*


MAJOR PURCHASESCOST

(in 000’s)BNP Cash Diversification 36,742United States Treasury Note 1.500% due 31/08/21 12,995United States Treasury Note 1.750% due 31/07/21 12,975United States Treasury Note 1.500% due 30/11/21 12,972United States Treasury Note 1.500% due 31/10/21 12,963United States Treasury Bill 0.000% due 16/01/20 9,959United States Treasury Bill 0.000% due 16/01/20 9,947JPMorgan Liquidity Funds — US Dollar Liquidity Fund 4,455BlackRock ICS US Dollar Liquidity Fund 4,061Citibank Cash Diversification 3,250Tiffany & Co 2,383Intrum AB 3.000% due 15/09/27 2,208Allergan Plc 2,061Qiagen NV 2,021United States Treasury Bill 0.000% due 30/01/20 1,978Celgene Corp 1,692thyssenkrupp AG 1.875% due 06/03/23 1,599Vivion Investments Sarl 3.000% due 08/08/24 1,565Transportes Aereos Portugueses SA 5.625% due 02/12/24 1,316Telefonica Europe BV 7.625% due 29/09/49 1,305

MAJOR SALESPROCEEDS

(in 000’s)BNP Cash Diversification 37,590United States Treasury Note 2.125% due 31/05/21 13,056United States Treasury Note 1.750% due 31/07/21 13,051United States Treasury Note 1.500% due 31/10/21 12,965United States Treasury Note 1.500% due 31/08/21 12,957United States Treasury Bill 0.000% due 30/01/20 6,453BlackRock ICS US Dollar Liquidity Fund 4,505Citibank Cash Diversification 4,500JPMorgan Liquidity Funds — US Dollar Liquidity Fund 2,920L Brands Inc 7.600% due 15/07/37 2,799Intelsat Luxembourg SA 8.125% due 01/06/23 2,521Mellanox Technologies Ltd 2,455Denbury Resources Inc 4.625% due 15/07/23 2,302Centennial Resource Production LLC 6.875% due 01/04/27 2,038Pacific Gas & Electric Co 6.050% due 01/03/34 2,016State Street Global Advisors Liquidity Plc — US Treasury LiquidityFund 2,000Altice Luxembourg SA 7.625% due 15/02/25 1,894Peabody Energy Corp 6.375% due 31/03/25 1,893First Quantum Minerals Ltd 7.500% due 01/04/25 1,734thyssenkrupp AG 1.875% due 06/03/23 1,626

* Major portfolio changes are defined as the aggregate purchases of a security exceeding one per cent of the total value of purchases for the year and aggregate salesof a security exceeding one per cent of the total value of sales for the year. At a minimum, the 20 largest purchases and 20 largest sales must be shown.

24


General Data Protection Regulation

Effective 25 May 2018, there were be changes to the rules applicable to the processing of personal data (including Shareholder data) by the ICAV. The purpose of thisdisclosure is to notify Shareholders of their rights as data subjects and to explain how and why the ICAV and its service providers hold and process personal data.

By completing the application form for ICAV shares, investors provide personal information, which may constitute “personal data” within the meaning of the DataProtection Legislation1. The following indicates the purposes for which Shareholders’ personal data may be used by the ICAV and the legal bases for such uses:

• to manage and administer the Shareholder’s holding in the ICAV and any related accounts on an ongoing basis as required for the performance of the contractbetween the ICAV and the Shareholder and to comply with legal and regulatory requirements;

• to carry out statistical analysis (including data profiling) and market research in the ICAV’s legitimate business interest;

• for any other specific purposes where the Shareholder has given specific consent. Such consent may be subsequently withdrawn by the Shareholder at any time,without affecting the lawfulness of processing based on consent before its withdrawal;

• to comply with legal, taxation and regulatory obligations applicable to the Shareholder and/or the ICAV from time to time, including applicable anti-money launderingand counter terrorist legislation. In particular, in order to comply with the Common Reporting Standard (as implemented in Ireland by Section 891E, Section 891F andSection 891G of the Taxes Consolidation Act 1997 (as amended) and regulations made pursuant to those sections), Shareholders’ personal data (including financialinformation) may be shared with the Irish tax authorities and the Revenue Commissioners. They in turn may exchange information (including personal data andfinancial information) with foreign tax authorities (including foreign tax authorities located outside the European Economic Area). Please consult the AEOI (AutomaticExchange of Information) webpage on www.revenue.ie for further information in this regard;

• for disclosure or transfer, whether in Ireland or countries outside Ireland, including without limitation the United States, which may not have the same data protectionlaws as Ireland, to third parties including financial advisers, regulatory bodies, auditors, technology providers or to the ICAV and its delegates and its or their dulyappointed agents and any of their respective related, associated or affiliated companies for the purposes specified above as required for the performance of thecontract between the ICAV and the Shareholder or as needed in the ICAV’s legitimate business interests.

Shareholders’ personal data may be disclosed by the ICAV to its delegates and service providers (including Managers, Investment Managers, Distributors, ShareholderServicing Agents, the Administrator and the Depositary), its duly authorised agents and any of its respective related, associated or affiliated companies, professional advisors,regulatory bodies, auditors and technology providers for the same purpose(s).

Shareholders’ personal data may be transferred to countries which may not have the same or equivalent data protection laws as Ireland. If such transfer occurs, the ICAVwill ensure that such processing of such personal data complies with Data Protection Legislation and, in particular, that appropriate measures are in place, such as enteringinto Model Contractual Clauses (as published by the European Commission) or ensuring that the recipient is Privacy Shield certified, if appropriate. If you require moreinformation on the means of transfer of their data or a copy of the relevant safeguards, please contact the Administrator, by email at [email protected], byphone at +353 1 242 5568 or by fax at +353 1 438 9582.

Pursuant to the Data Protection Legislation, Shareholders have several rights which they may exercise in respect of their personal data, namely:

• the right of access to personal data held by the ICAV;

• the right to amend and rectify any inaccuracies in the personal data held by the ICAV;

• the right to erase the personal data held by the ICAV;

• the right to data portability of the personal data held by the ICAV; and

• the right to request restriction of the processing of the personal data held by the ICAV.

In addition, shareholders have the right to object to processing of personal data by the ICAV.

The above rights will be exercisable by shareholders subject to limitations as provided for in the Data Protection Legislation. Shareholders may make a request to the ICAV toexercise these rights by contacting the Administrator, by email at [email protected], by phone at +353 1 242 5568 or by fax at +353 1 438 9582.

Please note that Shareholders’ personal data will be retained by the ICAV for the duration of their investment and otherwise in accordance with the ICAV’s legal obligationsincluding, but not limited to, the ICAV’s record retention policy.

The ICAV is a data controller within the meaning of the Data Protection Legislation and undertakes to hold any personal information provided by shareholders in confidenceand in accordance with the Data Protection Legislation. Note that Shareholders have the right to lodge a complaint with the Office of the Data Protection Commissioner ifthey believe that the processing of their data has been unlawful.

1 “Data Protection Legislation” means the Irish Data Protection Act, 1988 and 2003, the EU Data Protection Directive 95/46/EC, the EU ePrivacy Directive 2002/58/EC (asamended) and any relevant transposition of, or successor or replacement to, those laws (including, when they come into force, the General Data Protection Regulation(Regulation (EU) 2016/679) and the successor to the ePrivacy Directive).

25


Financial Information – Total Expense Ratios (TER)

Total Expense Ratios (“TER”)

The Total Expense Ratio (“TER”) was calculated according to currently valid guidelines of the Swiss Funds & Asset Management Association SFAMA.

The key figures as at 31 December 2019 were as follows:

Share Class TER TER

31 December 2019 30 June 2019

Class A US$ Accumulating 2.80% 2.73%Class A US$ Distributing Plus (Q) 2.79% 2.71%Class A Accumulating Euro (Hedged) 2.83% 2.76%Class A Euro Distributing Plus (Q) (Hedged) 2.84% 2.77%Class E Euro Accumulating (Hedged) 2.78% 2.74%Class F US$ Accumulating 2.16% 2.14%Class R US$ Accumulating 1.81% 1.75%Class R US$ Distributing Plus (Q) 1.79% 1.72%Class R Euro Accumulating (Hedged) 1.85% 1.77%Class R Euro Distributing Plus (Q) (Hedged) 1.85% 1.77%Class X Euro Accumulating (Hedged) 2.24% 2.16%Premier Class US$ Accumulating 2.05% 1.97%Premier Class US$ Distributing Plus (Q) 2.04% 2.00%Premier Class Accumulating Euro (Hedged) 2.09% 2.01%Premier Class Euro Distributing Plus (Q) (Hedged) 2.09% 2.02%

1) The Total Expense Ratio (“TER”) is calculated according to the following formula: (total expenses / AF)* 100; AF (= average fund assets)

26